An Evolutionary Game-Theoretic Comparison of Two Double-Auction Market Designs

In this paper we describe an analysis of two double auction markets— the clearing house auction and the continuous double auction. The complexity of these institutions is such that they defy analysis using traditional game-theoretic techniques, and so we use heuristic-strategy approximation to provide an approximated game-theoretic analysis. As well as finding heuristic-strategy equilibria for these mechanisms, we subject them to an evolutionary game-theoretic analysis which allows us to quantify which equilibria are more likely to occur. We then weight the design objectives for each mechanism according to the probability distribution over equilibria, which allows us to provide more realistic estimates for the efficiency of each mechanism.

• Type: Conference
• Year: 2004
• Where: AMEC
• Authors: Steve Phelps, Simon Parsons, Peter McBurney
• Keywords: AMEC 2004, Double Auction, Game-theoretic Analysis, Information Management, Traditional Game-theoretic Techniques