AGENT-HUMAN INTERACTIONS IN THE CONTINUOUS DOUBLE AUCTION, REDUX - Using the OpEx Lab-in-a-Box to explore ZIP and GDX

Marco De Luca, Dave Cliff

2011

Abstract

In 2001, a team of researchers at IBM published a paper in IJCAI which reported on the first experiments that systematically studied the interactions of human traders and software-agent traders in electronic marketplaces running the continuous double auction (CDA) mechanism. IBM found that two software-agent strategies, known as GD and ZIP, consistently outperformed human traders. IBM's results received international press coverage, probably because the CDA is the mechanism that is used in the main electronic trading systems that make up the global financial markets. In 2002, Tesauro & Bredin published details of an extension to GD, which they named GDX, for which they wrote: "We suggest that this algorithm may offer the best performance of any published CDA bidding strategy". To the best of our knowledge, GDX has never been tested against human traders under experimental conditions. In this paper, we report on the first such test: we present detailed analysis of the results from our own replications of IBM's human vs. ZIP experiments and from our world-first experiments that test humans vs. GDX. Our overall findings are that, both when competing against ZIP in pure agent vs. agent experiments and when competing against human traders, GDX's performance is significantly better than the performance of ZIP.

Paper Citation

in Harvard Style

De Luca M. and Cliff D. (2011). AGENT-HUMAN INTERACTIONS IN THE CONTINUOUS DOUBLE AUCTION, REDUX - Using the OpEx Lab-in-a-Box to explore ZIP and GDX . In Proceedings of the 3rd International Conference on Agents and Artificial Intelligence - Volume 2: ICAART, ISBN 978-989-8425-41-6, pages 351-358. DOI: 10.5220/0003293903510358

in Bibtex Style

@conference{icaart11,
author={Marco De Luca and Dave Cliff},
title={AGENT-HUMAN INTERACTIONS IN THE CONTINUOUS DOUBLE AUCTION, REDUX - Using the OpEx Lab-in-a-Box to explore ZIP and GDX},
booktitle={Proceedings of the 3rd International Conference on Agents and Artificial Intelligence - Volume 2: ICAART,},
year={2011},
pages={351-358},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0003293903510358},
isbn={978-989-8425-41-6},
}

in EndNote Style

TY - CONF
JO - Proceedings of the 3rd International Conference on Agents and Artificial Intelligence - Volume 2: ICAART,
TI - AGENT-HUMAN INTERACTIONS IN THE CONTINUOUS DOUBLE AUCTION, REDUX - Using the OpEx Lab-in-a-Box to explore ZIP and GDX
SN - 978-989-8425-41-6
AU - De Luca M.
AU - Cliff D.
PY - 2011
SP - 351
EP - 358
DO - 10.5220/0003293903510358