An equilibrium analysis of trading across multiple double auction marketplaces using fictitious play
作者：
Highlights：
• We investigate traders’ market selection and bidding strategies in multiple double auctions.
• We model the setting as a Bayesian game with continuous private values.
• We consider different trading environments with independent, substitutable and complementary goods.
• We use a modified fictitious play algorithm to compute Bayes–Nash equilibrium trading strategies.
• We draw various insights such as that traders may not participate when trading perfectly complementary goods.
摘要
•We investigate traders’ market selection and bidding strategies in multiple double auctions.•We model the setting as a Bayesian game with continuous private values.•We consider different trading environments with independent, substitutable and complementary goods.•We use a modified fictitious play algorithm to compute Bayes–Nash equilibrium trading strategies.•We draw various insights such as that traders may not participate when trading perfectly complementary goods.
论文关键词：Trading strategies,Double auctions,Bayes–Nash equilibrium,Fictitious play
论文评审过程：Received 16 October 2015, Revised 3 April 2016, Accepted 3 April 2016, Available online 4 April 2016, Version of Record 8 April 2016.
论文官网地址：https://doi.org/10.1016/j.elerap.2016.04.002
