Bidding Strategies in Agent-Based Continuous Double Auctions

2008 ◽  
Keyword(s):  
Agent Based ◽  
Bidding Strategies ◽  
Double Auctions ◽  
Continuous Double Auctions

scholarly journals Bidding in Smart Grid PDAs: Theory, Analysis and Strategy

2020 ◽  
Vol 34 (02) ◽  
pp. 1974-1981
Author(s):  
Susobhan Ghosh ◽  
Sujit Gujar ◽  
Praveen Paruchuri ◽  
Easwar Subramanian ◽  
Sanjay Bhat
Keyword(s):  
Smart Grids ◽  
Complete Information ◽  
Equilibrium Analysis ◽  
Equilibrium Strategy ◽  
Double Auction ◽  
Single Shot ◽  
Wholesale Market ◽  
Bidding Strategies ◽  
Double Auctions ◽  
Best Response

Periodic Double Auctions (PDAs) are commonly used in the real world for trading, e.g. in stock markets to determine stock opening prices, and energy markets to trade energy in order to balance net demand in smart grids, involving trillions of dollars in the process. A bidder, participating in such PDAs, has to plan for bids in the current auction as well as for the future auctions, which highlights the necessity of good bidding strategies. In this paper, we perform an equilibrium analysis of single unit single-shot double auctions with a certain clearing price and payment rule, which we refer to as ACPR, and find it intractable to analyze as number of participating agents increase. We further derive the best response for a bidder with complete information in a single-shot double auction with ACPR. Leveraging the theory developed for single-shot double auction and taking the PowerTAC wholesale market PDA as our testbed, we proceed by modeling the PDA of PowerTAC as an MDP. We propose a novel bidding strategy, namely MDPLCPBS. We empirically show that MDPLCPBS follows the equilibrium strategy for double auctions that we previously analyze. In addition, we benchmark our strategy against the baseline and the state-of-the-art bidding strategies for the PowerTAC wholesale market PDAs, and show that MDPLCPBS outperforms most of them consistently.

scholarly journals Strategic bidding in continuous double auctions

2008 ◽  
Vol 172 (14) ◽  
pp. 1700-1729 ◽  
Author(s):  
P. Vytelingum ◽  
D. Cliff ◽  
N.R. Jennings
Keyword(s):  
Double Auctions ◽  
Strategic Bidding ◽  
Continuous Double Auctions

scholarly journals Efficiency of continuous double auctions under individual evolutionary learning with full or limited information

2011 ◽  
Vol 23 (3) ◽  
pp. 539-573 ◽  
Author(s):  
Mikhail Anufriev ◽  
Jasmina Arifovic ◽  
John Ledyard ◽  
Valentyn Panchenko
Keyword(s):  
Evolutionary Learning ◽  
Limited Information ◽  
Double Auctions ◽  
Continuous Double Auctions
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