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| Bidding Strategy in Continuous Double Auction Based on Dynamic Hurwicz Criterion
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| ZHAN Wenjie,BAI Yantao |
| Huazhong University of Science & Technology, Wuhan, China |
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Abstract For the complexity of studying the bidding strategy in a continuous double auction (CDA) market, this paper applies the Hurwicz criterion, an important criterion for decision making under uncertainty, to investigate the problem. Three dynamic Hurwicz strategies are provided. They are named as λconcave, λline, and λconvex respectively. Simulation results show that the λconcave always makes the maximal profit among the three strategies under different types of market environments. It means that "slowly first then fast afterwards" is the best adjustment of parameter λ for agents in a CDA.
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Received: 03 September 2013
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2014, Vol. 11 
