Work detail

Comparison of double auction bidding strategies for automated trading agents

Author: Mgr. Daniel Vach
Year: 2015 - summer
Leaders: Ing. Aleš Maršál M.A.
Work type: Finance, Financial Markets and Banking
Language: English
Pages: 86
Awards and prizes:
Abstract: In this work, ZIP, GDX, and AA automated bidding strategies are compared in symmetric agent-agent
experiments with a variable composition of agent population. ZIPOJA, a novel strategy based on ZIP
with Oja’s rule extension for updating its optimal price, is introduced. Then it is showed that ZIPOJA
underperforms in competition against other strategies and that it underperforms even against the
original ZIP. Dominance of AA over GDX and ZIP is questioned and it is showed that it is not robust to
composition changes of agent population and that the experimental setup strongly affects the
results. GDX is a dominant strategy over AA in many experiments in this work in contrast to the
previous literature. Some mixed strategy Nash equilibria are found and their basins of attraction are
shown by dynamic analysis.




Patria Finance
Česká Spořitelna