Continuous double auctions with execution uncertainty

van Valkenhoef, G., Ramchurn, S., Vytelingum, P., Jennings, N. and Verbrugge , R. (2009) Continuous double auctions with execution uncertainty. In: Proc. IJCAI Workshop on Trading Agent Design and Analysis, Pasadena, USA. pp. 113-122.

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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.

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