Skip to main content

Designing Robust Strategies for Continuous Trading in Contemporary Power Markets

  • Conference paper

Part of the Lecture Notes in Business Information Processing book series (LNBIP,volume 136)

Abstract

In contemporary energy markets participants interact with each other via brokers that are responsible for the proper energy flow to and from their clients (usually in the form of long-term or short-term contracts). Power TAC is a realistic simulation of a real-life energy market, aiming towards providing a better understanding and modeling of modern energy markets, while boosting research on innovative trading strategies. Power TAC models brokers as software agents, competing against each other in Double Auction environments, in order to increase their client base and market share. Current work discusses such a broker agent architecture, striving to maximize his own profit. Within the context of our analysis, Double Auction markets are treated as microeconomic systems and, based on state-of-the-art price formation strategies, the following policies are designed: an adaptive price formation policy, a policy for forecasting energy consumption that employs Time Series Analysis primitives, and two shout update policies, a rule-based policy that acts rather hastily, and one based on Fuzzy Logic. The results are quite encouraging and will certainly call for future research.

Keywords

  • Double Auctions
  • Trading Agent Competition (TAC)
  • Energy Market
  • Fuzzy Logic
  • Time Series Analysis

This is a preview of subscription content, access via your institution.

Buying options

Chapter
USD   29.95
Price excludes VAT (USA)
  • DOI: 10.1007/978-3-642-40864-9_3
  • Chapter length: 15 pages
  • Instant PDF download
  • Readable on all devices
  • Own it forever
  • Exclusive offer for individuals only
  • Tax calculation will be finalised during checkout
eBook
USD   39.99
Price excludes VAT (USA)
  • ISBN: 978-3-642-40864-9
  • Instant PDF download
  • Readable on all devices
  • Own it forever
  • Exclusive offer for individuals only
  • Tax calculation will be finalised during checkout
Softcover Book
USD   54.99
Price excludes VAT (USA)

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Borissov, N., Wirström, N.: Q-Strategy: A Bidding Strategy for Market-Based Allocation of Grid Services. In: Meersman, R., Tari, Z. (eds.) OTM 2008, Part I. LNCS, vol. 5331, pp. 744–761. Springer, Heidelberg (2008)

    CrossRef  Google Scholar 

  2. Cliff, D.: Minimal-intelligence agents for bargaining behaviors in market-based environments (1997)

    Google Scholar 

  3. Erev, I., Roth, A.E.: Predicting How People Play Games: Reinforcement Learning in Experimental Games with Unique, Mixed Strategy Equilibria. The American Economic Review 88(4), 848–881 (1998)

    Google Scholar 

  4. Friedman, D.: The Double Auction Market: Institutions, Theories and Evidence (Santa Fe Institute Studies in the Sciences of Complexity Proceedings). Westview Press (March 1993)

    Google Scholar 

  5. Gjerstad, S., Dickhaut, J.: Price Formation in Double Auctions. Games and Economic Behavior 22(1), 1–29 (1998)

    MathSciNet  CrossRef  MATH  Google Scholar 

  6. Gode, D.K., Sunder, S.: Allocative Efficiency of Markets with Zero-Intelligence Traders: Market as a Partial Substitute for Individual Rationality. The Journal of Political Economy 101(1), 119–137 (1993)

    CrossRef  Google Scholar 

  7. He, M., Leung, H.F., Jennings, N.R.: A Fuzzy-Logic Based Bidding Strategy for Autonomous Agents in Continuous Double Auctions. IEEE Transactions on Knowledge and Data Engineering 15(6), 1345–1363 (2003)

    CrossRef  Google Scholar 

  8. Ketter, W., Collins, J., Reddy, P.P., Flath, C.M.: The Power Trading Agent Competition. Report Series ERS-2011-011-LIS, Erasmus Research Institute of Management (2011)

    Google Scholar 

  9. Mas-Colell, A., Whinston, M.D., Green, J.R.: Microeconomic Theory. Oxford University Press, USA (1995)

    MATH  Google Scholar 

  10. Rust, J., Miller, J.H., Palmer, R.: Behavior of trading automata in a computerized double auction market. In: The Double Auction Market: Institutions, Theories, and Evidence (Santa Fe Institute Studies in the Sciences of Complexity Proceedings), pp. 155–198 (March 1993)

    Google Scholar 

  11. Rust, J., Miller, J.H., Palmer, R.: Characterizing effective trading strategies: Insights from a computerized double auction tournament. Journal of Economic Dynamics and Control 18(1), 61–96 (1994)

    CrossRef  Google Scholar 

  12. Vytelingum, P., Cliff, D., Jennings, N.R.: Strategic bidding in continuous double auctions. Artificial Intelligence 172(14), 1700–1729 (2008)

    CrossRef  MATH  Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Editor information

Editors and Affiliations

Rights and permissions

Reprints and Permissions

Copyright information

© 2013 Springer-Verlag Berlin Heidelberg

About this paper

Cite this paper

Diamantopoulos, T.G., Symeonidis, A.L., Chrysopoulos, A.C. (2013). Designing Robust Strategies for Continuous Trading in Contemporary Power Markets. In: David, E., Kiekintveld, C., Robu, V., Shehory, O., Stein, S. (eds) Agent-Mediated Electronic Commerce. Designing Trading Strategies and Mechanisms for Electronic Markets. AMEC TADA 2012 2012. Lecture Notes in Business Information Processing, vol 136. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-40864-9_3

Download citation

  • DOI: https://doi.org/10.1007/978-3-642-40864-9_3

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-40863-2

  • Online ISBN: 978-3-642-40864-9

  • eBook Packages: Computer ScienceComputer Science (R0)