Auctions
Links
Books
- ANDERSSON, Fredrik and Håkan HOLM (Edited by), Experimental Economics: Financial Markets, Auctions, and Decision Making
- FRIEDMAN, Daniel and John RUST (Edited by), The Double Auction Market : Institutions, Theories, and Evidence
- KRISHNA, Vijay, Auction Theory
- SADRIEH, Abdolkarim, The Alternating Double Auction Market : A Game Theoretic and Experimental Investigation
Papers
- CLIFF, Dave, 2001. Evolution of Market Mechanism Through a Continuous Space of Auction-Types
"A continuous space of auction mechanisms is explored via a genetic algorithm, with ZIP artificial trading agents operating in the evolved markets. The space of possible auction-types includes the Continuous Double Auction and also two purely one-sided mechanisms, yet hybrids of these auction types can be found to give the most desirable market dynamics." Cliff (2001)
- CLIFF, Dave, 2001. Evolutionary Optimization of Parameter Sets for Adaptive Software-Agent Traders in Continuous Double Auction Markets
"The continuous double-auction (CDA) is a powerful market mechanism, noted for its speed and efficiency, and is the mechanism underlying the organization of open-outcry ‘trading pits’ at major international derivatives markets. In previous publications, Cliff & Bruten demonstrated that software ‘trading agents’ need more than zero intelligence to give human-like CDA price-equilibration behavior and presented results from experiments with simple adaptive trading agents in CDA markets and in one-sided auctions. These agents give very good performance on standard measures of trading activity such as allocative efficiency, Smith's 'alpha' measure of price convergence, and profit dispersion, but only when parameters governing the adaptation mechanism are set to appropriate values. Determining good or optimal combinations of parameters by hand is possible, but can be labor-intensive. This paper presents the first results from using a genetic algorithm to optimize all the real-valued parameters governing adaptation in the trading agents. It is shown that a simple genetic algorithm (GA), in combination with an appropriate evaluation function, can deliver good parameter settings from random initial-value conditions. The evolutionary trajectories of the population through the 8-dimensional parameter space are illustrated, and the use of the GA to identify parameters that are redundant or even harmful is discussed." Cliff (2001)
- D’HULST, R. and G.J. RODGERS, 2001. Bid distributions of competing agents in simple models of auctions, 2001
- GROßKLAGS, Jens, Carsten SCHMIDT and Jonathan SIEGEL, 2001. Dumb software agents on an experimental asset market
- KYLE, Albert S., 1985. Continuous Auctions and Insider Trading
- MOORE, Andrew W., 2001. Non-zero-sum Game Theory, Auctions and Negotiation
- PLEROU, Vasiliki, Parameswaran GOPIKRISHNAN and H. Eugene STANLEY, Two-phase behaviour of financial markets