ZIP60: Further explorations in the evolutionary design of trader agents and online auction-market mechanisms

IEEE Transactions on Evolutionary Computation

Volumn 13, Issue 1, 2009, Pages 3-18

  Cliff, Dave ^a  

^a UNIVERSITY OF BRISTOL   (United Kingdom)

Author keywords

Adaptive trader agents; Algorithmic trading; Automated market mechanism design; Genetic algorithms (GAs); ZIP traders

Indexed keywords

ALGORITHMS; AUTOMATION; COMMERCE; ELECTRONIC COMMERCE; GENETIC ALGORITHMS; MACHINE DESIGN; MARKETING; PRINCIPAL COMPONENT ANALYSIS;

ADAPTIVE TRADER-AGENTS; ALGORITHMIC TRADING; AUTOMATED MARKET MECHANISM DESIGN; GENETIC ALGORITHMS (GAS); ZIP TRADERS;

ADAPTIVE ALGORITHMS;

EID: 59749084372     PISSN: 1089778X     EISSN: None     Source Type: Journal    
DOI: 10.1109/TEVC.2008.907594     Document Type: Article

References (65)

1. A. Aizawa and B. Wah, "Scheduling of genetic algorithms in a noisy environment," Evol. Comput., vol. 2, no. 2, pp. 97-122, 1994.
2. C. Alexander, Market Models: A Guide to Financial Data Analysis. New York: Wiley, 2001.
3. A. Bagnall and I. Toft, "Zero intelligence plus and Gjerstad-Dickhaut agents for sealed bid auctions," in Proc. Workshop on Trading Agent Design and Analysis (TADA04), New York, Jul. 2004, pp. 59-64.
4. A. Bagnall and I. Toft, "Autonomous adaptive agents for single-seller sealed bid auctions," Autonomous Agents and Multi Agent Systems, 2005, In press.
5. T. Borgers and R. Sarin, "Learning through reinforcement and replicator dynamics," J. Econ. Theory, vol. 77, pp. 1-14, 1997.
6. S. Bullock, D. Floreano, J.-D. Nicoud, and F. Mondada, Eds., "Are artificial mutation biases unnatural?," in Proc. 5th Eur. Conf. Advances Artif. Life: (ECAL99), 1999, pp. 64-73.
7. A. Byde, "Applying evolutionary game theory to auction mechanism design," in Proc. 2003 ACM Conf. E-Commerce, 2003, pp. 192-193.
8. C. Chatfield and A. Collins, An Introduction to Multivariate Analysis London, U.K.: Chapman & Hall, 1980.
9. S. Clearwater, Market-Based Control. Singapore: World Scientific, 1995.
10. D. Cliff, "Minimal-intelligence agents for bargaining behaviours in market environments," Hewlett-Packard Laboratories, Tech. Rep. HPL-97-91, 1997. [Online]. Available: http://www.hpl.hp.com/techreports/ 97/HPL-97-91.html
11. D. Cliff, "Genetic optimization of adaptive trading agents for double-auction markets," Proc. Comput. Intell. Financial Engineering (CIFEr), pp. 252"258, 1998, IEEE/IAFE/Informs (preprint proceedings).
12. D. Cliff, "Evolutionary optimization of parameter sets for adaptive software-agent traders in continuous double-auction markets," presented at the Artificial Soc. Comput. Markets (ASCMA98) Workshop at the 2nd Int. Conf. Autonomous Agents, Minneapolis/St. Paul, May 1998. [Online]. Available: http://www.hpl.hp.com/techreports/ 2001/HPL-2001-99.pdf, unpublished
13. D. Cliff, "Evolution of market mechanism through a continuous space of auction-types," in Proc. Congr. Evolut. Comput., May 2002, pp. 2029-2034.
14. D. Cliff, "Visualizing search-spaces for evolved hybrid auction mechanisms," presented at the 8th Int. Conf. Simulation and Synthesis of Living Systems (ALifeVIII) Conf. Beyond Fitness: Visualizing Evolution Workshop, Sydney, Dec. 2002. [Online]. Available: www.alife. org/alife8/workshops/19.pdf, Hewlett-Packard Labs Tech. Rep. HPL-2002-291, unpublished
15. D. Cliff, V. Walia, and A. Byde, "Evolved hybrid auction mechanisms in non-zip trader marketplaces," in Proc. Int. Conf. Comput. Intell. Financial Engineering (CIFEr03), Hong Kong, Mar. 2003, pp. 167-174.
16. D. Cliff, "Explorations in evolutionary design of online auction market mechanisms," Electronic Commerce Research and Applications, vol. 2, no. 2, pp. 162-175, 2003.
17. D. Cliff, ZIP60: "Further explorations in the evolutionary design of online auction market mechanisms," Hewlett-Packard Labs, Tech. Rep. HPL-2005-85, 2005. [Online]. Available: http://www.hpl.hp.com/tech reports/2005/HPL-2005-85.pdf
18. D. Cliff, "ZIP60: Further explorations in the evolutionary design of trader agents and online auction market mechanisms," 2006. [Online]. Available: www.eprints.ecs.soton.ac.uk/14078, and [Online]. Available: www.ziptrader.org/zip60
19. R. Das, J. Hanson, J. Kephart, and G. Tesauro, "Agent-human interactions in the continuous double auction," Proc. IJCAI-01, pp. 1169-1187, 2001.
20. N. Feltovich, "Nonparametric tests of differences in medians: Comparison of theWilcoxon-Mann-Whitney and robust rank-order tests," Exp. Econ., vol. 6, pp. 273-297, 2003.
21. N. Feltovich, "Critical values for the robust rank-order test," Communications in Statistics: Simulation and Computation, vol. 34, pp. 525-547, 2005.
22. D. Friedman, "A simple testable model of price formation in the double auction market," J. Econ. Behav. Org., vol. 15, pp. 47-70, 1991.
23. D. Friedman and J. Rust, Eds., The Double Auction Market: Institution, Theories, and Evidence. Reading, MA: Addison Wesley, 1993.
24. E. Gerding, K. Somefun, and H. La Poutré, "Multi-attribute bilateral bargaining in a one-to-many setting," in Proc. Workshop on Agent Mediated Electronic Commerce VI (AMEC), New York, 2004, pp. 105-112.
25. S. Gjerstad and J. Dickhaut, "Price formation in double auctions," Games and Economic Behavior, vol. 22, pp. 1-29, 1998.
26. D. Gode and S. Sunder, "Allocative efficiency of markets with zero-intelligence traders," J. Political Economy, vol. 101, pp. 119-137, 1993.
27. D. Goldberg, Genetic Algorithms: In Search, Optimization, and Machine Learning. Reading, MA: Addison Wesley, 1989.
28. A. Greenwald, B. Guillemette, V. Naroditskiy, and M. Tschantz, S. Jansen, Ed., "Scaling up the sample average approximation method for stochastic optimization with applications to trading agents," in Proc. Working Notes from the IJCAI-05 Workshop on Trading Agent Design and Analysis (IJCAI05:TADA05), 2005, pp. 21-27.
29. I. Harvey, "The artificial evolution of adaptive behavior," Ph.D. dissertation, School of Cognitive and Computing Sciences, Univ. Sussex, Sussex, U.K., 1994.
30. M. He, H. Leung, and N. Jennings, "A fuzzy logic based bidding strategy for autonomous agents in continuous double auctions," IEEE Trans. Knowl. Data Eng., vol. 15, no. 6, pp. 1345-1363, 2003.
31. W. Hsieh, "Nonlinear multivariate and time series analysis by neural network methods," Rev. Geophysics, vol. 42, no. RG1003, pp. 1-25, 2004.
32. J. Koza, D. Andre, F. Bennett, and M. Keane, Genetic Programming: Volume 3. San Mateo, CA: Morgan Kauffman, 1998.
33. D. Ladley and S. Bullock, S. Jansen, Ed., "Who to listen to: Exploiting information quality in a ZIP-agent market," in Proc. Working Notes IJCAI-05 Workshop Trading Agent Des. Anal. (IJCAI05:TADA05 , 2005, pp. 28-34.
34. P. Larrañaga and J. Lozano, Eds., Estimation of Distribution Algorithms: A New Tool for Evolutionary Computation. : Kluwer, 2001.
35. L. Li and S. Smith, "Speculation agents for dynamic, multi-period continuous double auctions in B2B exchanges," in Proc. 37th Hawaii Int. Conf. Syst. Sci., HI, Jan. 2004, p. 70165a.
36. K. Lochner and M. Wellman, "Rule-based specification of auction mechanisms," in Proc. 3rd Int. Joint Conf. Auton. Agents Multi-Agent Syst., 2004, pp. 818-825.
37. R. Michalski, "Learnable evolution model: Evolutionary processes guided by machine learning," Mach. Learn., vol. 38, no. 1-2, pp. 9-40, 2000.
38. M. Mitchell, An Introduction to Genetic Algorithms. Cambridge, MA: MIT Press, 1998.
39. D. Pardoe and P. Stone, "Developing adaptive auction mechanisms," ACM SIGecom Exchanges, vol. 5, no. 3, pp. 1-10, 2005.
40. S. Park, E. Durfee, and W. Birmingham, "Use of Markov chains to design an agent bidding strategy for continuous double auctions," J. Artif. Intell. Res. (JAIR), vol. 22, pp. 175-214, 2004.
41. S. Phelps, P. McBurney, S. Parsons, and E. Skylar, "Co-evolutionary auction mechanism design: A preliminary report," in Proc. Agent-Mediated Electronic Commerce IV, 2002, vol. 2531, Lecture Notes in Computer Science, pp. 193-213.
42. S. Phelps, S. Parsons, and P. McBurney, "An evolutionary game-theoretic comparison of two double auction market designs," in Proc. Agent-Mediated Electronic Commerce IV, 2004, Lecture Notes in Computer Science, pp. 123-142.
43. S. Phelps, M. Marcinkuiewicz, S. Parsons, and P. McBurney, S. Jansen, Ed., "Using population-based search and evolutionary game theory to acquire better-response strategies for the double auction market," in Proc. Notes from the IJCAI-05 Workshop on Trading Agent Design and Analysis (IJCAI05:TADA05), 2005, pp. 21-27.
44. C. Preist and M. van Tol, "Adaptive agents in a persistent-shout double auction," Proc. ACM ICE-98, pp. 11-18, 1998.
45. Z. Qin, "Evolving marketplace designs by artificial agents," M.Sc. thesis, Comput. Sci. Dept., Bristol Univ., Bristol, U.K., Sep. 2002, 2002.
46. Z. Qin and T. Kovacs, "Evolution of realistic hybrid auctions," in Proc. 2004 UK Workshop on Comp. Intell. (UKCI-04 , Sep. 2004, pp. 43-50.
47. D. Reeves, M. Wellman, J. Mackie-Mason, and A. Osepayshvili, "Exploring bidding strategies for market-based scheduling," Decision Support Syst., vol. 39, pp. 67-85, 2005.
48. N. Robinson, "Evolutionary optimization of market-based control systems for resource allocation in compute farms," M.Sc. thesis, Univ. Sussex, Sussex, U.K., 2002.
49. M. Rothkopf and S. Park, "An elementary introduction to auctions," Interfaces, vol. 31, no. 6, pp. 83-97, 2001.
50. D. Rumelhart, G. Hinton, and R. Williams, D. Rumelhart and J. McClelland, Eds., "Learning internal representations by error propagation," in Parallel Distributed Processing. Cambridge, MA: MIT Press, 1986, vol. 1, pp. 318-362.
51. D. Shipp, "The effects of changes to supply and demand on trader agents and marketplaces," M.Sc. thesis, School of Computi., Univ. Leeds, Leeds, U.K., 2004.
52. S. Siegel and N. Castellan, Nonparametric Statistics for the Behavioral Sciences. New York: McGraw-Hill, 1988.
53. V. Smith, "Experimental study of competitive market behavior," J. Political Economy, vol. 70, pp. 111-137, 1962.
54. P. Stroud, "Kalman-extended genetic algorithm for search in nonstationary environments with noisy fitness evaluations," IEEE Trans. Evol. Comput., vol. 5, no. 1, pp. 66-77, 2001.
55. J. Sun, Q. Zhang, and E. Tsang, "DE/EDA: A new evolutionary algorithm for global optimization," Information Sciences, vol. 169, no. 3, pp. 249-262, 2005.
56. G. Tesauro and R. Das, "High-performance bidding agents for the continuous double auction," in Proc. 3rd ACM Conf. E-Commerce, Seattle, WA, Aug. 2001, pp. 206-209.
57. G. Tesauro and J. Bredin, "Strategic sequential bidding in auctions using dynamic programming," in Proc. 1st Int. Conf.n Autonomous Agents and Multiagent Systems (AAMAS-02), Bologna, Italy, 2002, pp. 591-598.
58. P. Vytelingum, R. Dash, E. David, and N. Jennings, "A risk-based bidding strategy for continuous double auctions," in Proc. 16th Eur. Conf. Artif. Intell., Valencia, Spain, 2004, pp. 79-83.
59. V. Walia, "Evolving market design," M.Sc. thesis, School of Comput. Sci., University of Birmingham, Birmingham, U.K., 2002.
60. M. Wellman, D. Reeves, K. Lochner, and R. Suri, S. Jansen, Ed., "Searching for Walverine 2005," in Proc. Working Notes from the IJCAI-05 Workshop on Trading Agent Design and Analysis (IJCAI05:TADA05) 2005, pp. 1-6.
61. D. Wichett, "Coadaptive dynamics of minimal intelligence trading agents in competing populations," M.Sc. thesis, Univ. Birmingham, Birmingham, U.K., 2004.
62. R. Wilson, G. Feiwel, Ed., "On equilibria of bid-ask markets," in Arrow and the Ascent of Modern Economic Theory. New York: University Press, 1987, pp. 375-414.
63. U. Witt, "Evolutionary concepts in economics," Eastern Economic J. vol. 18, pp. 405-419, 1992.
64. P. Wurman, M. Wellman, and W. Walsh, "A parameterization of the auction design space," Games and Economic Behavior, vol. 35, pp. 304-338, 2001.
65. Q. Zhang, J. Sun, E. Tsang, and J. Ford, "Hybrid estimation of distribution algorithm for global optimization," Eng. Comput., vol. 21, no. 1, pp. 91-107, 2004.