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Continuous Double Auctions with Execution Uncertainty

  • Gert van Valkenhoef
  • Sarvapali D. Ramchurn
  • Perukrishnen Vytelingum
  • Nicholas R. Jennings
  • Rineke Verbrugge
Part of the Lecture Notes in Business Information Processing book series (LNBIP, volume 59)

Abstract

We propose a novel variant of the Continuous Double Auction (CDA), the Trust-based CDA (T-CDA), which we demonstrate to be robust to execution uncertainty. This is desirable in a setting where traders may fail to deliver the goods, services or payments they have promised. Specifically, the T-CDA provides a mechanism that allows agents to commit to trades they believe will maximize their expected utility. In this paper, we consider agents that use their trust in other agents to estimate the expected utility of a transaction. We empirically evaluate the mechanism, both against the optimal solution given perfect and complete information and against the standard CDA. We show that the T-CDA consistently outperforms the traditional CDA as execution uncertainty increases in the system. Furthermore, we investigate the robustness of the mechanism to unreliable trust information and find that performance degrades gracefully as information quality decreases.

Keywords

Multi-Agent System Continuous Double Auction Resource Allocation Market Mechanism Uncertainty Trust 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2010

Authors and Affiliations

  • Gert van Valkenhoef
    • 1
  • Sarvapali D. Ramchurn
    • 2
  • Perukrishnen Vytelingum
    • 2
  • Nicholas R. Jennings
    • 2
  • Rineke Verbrugge
    • 1
  1. 1.Artificial IntelligenceUniversity of GroningenGroningenThe Netherlands
  2. 2.Electronics and Computer ScienceUniversity of SouthamptonSouthamptonUnited Kingdom

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