Continuous double auctions with execution uncertainty
OA Location
Author(s)
Valkenhoef, Gert van
Ramchurn, Sarvapali D
Vytelingum, Perukrishnen
Jennings, Nicholas R
Verbrugge, Rinek
Type
Conference Paper
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 TCDA 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.
Date Issued
2009-07
Citation
2009
Identifier
http://eprints.soton.ac.uk/267329/
Source
Workshop on Trading Agent Design and Analysis (TADA-09)
Publication Status
Unpublished