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Adaptive Agents in a Persistent Shout Double Auction
Preist, Chris; van Tol, Maarten
Keyword(s): agents; double auction; electronic trading; negotiation; adaptive behaviour
Abstract: Cliff (1997) has demonstrated that simple, adaptive agents are able to trade in a form of double auction marketplace, in such a way that trade prices converge towards the equilibrium price of the marketplace. However, the marketplace within which the agents trade is unrealistic. In this paper, we consider a more realistic form of double auction market, the persistent shout double auction. We present agents based on the ZIP agents of Cliff (1997), but with an alternative set of heuristics for use within this auction. We demonstrate that the resulting agents achieve equilibrium significantly faster than ZIP agents do, maintain a more stable equilibrium, and are more robust to changes in learning rate.
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