Research Of Bidding Strategy For Multi-Unit Commodities In Double Auctions

Double auctions,as an efficient market mechanism,are widely used by stocks,futures,securities and other exchanges.In the double auction market,there are multiple buyers and multiple sellers trading multiple commodities.The transactions of traders are usually subject to budget and value constraints.In this complex market situation,how traders bidding effectively is very important.However,the existing work does not take into account the budget and value constraints with trading multiple commodities.In this paper,we will study the bidding strategy of traders with budget and value constraints of trading multi-unit commodities.The main work of this paper is as follows:(1)We propose a double auction market framework for trading multi-unit commodities.We also describe traders' bidding strategy in this setting.Because the bidding strategy adopted by the trader depends on the expected utility,we also derive the equations to calculate the trader's expected utility.(2)We use the Fictitious Play algorithm to calculate the Bayes-Nash equilibrium bidding strategy for traders in double auctions under the budget and value constraints.We first analyze the Bayes-Nash equilibrium bidding strategy of the trader in the single-unit commodity double auction and find that traders will hide their true values in order to get more profits.We then analyze the Bayes-Nash equilibrium bidding strategy of the trader under the value constraint when trading multi-unit commodities,and we find that the trader with the independent value bids multiple commodities and the bid is the same as the setting of trading single-unit commodity.Traders with substitutable values intend to purchase multiple commodities and shade their values more.We finally analyze the Bayes-Nash equilibrium bidding strategy of the traders in the double auction when trading multi-unit commodities,and find that the maximum value of sellers entering the market was not bigger than the buyer's budget,and as the budget decreases,more and more traders do not enter the market.(3)We design a practical bidding strategy based on the best response action in Bayes-Nash equilibrium.We then evaluate this bidding strategy by comparing it with ZIC and GD bidding strategies under the different budget and value constraints.We find that the proposed bidding strategy outperform ZIC and GD strategies in terms of total income,the average income and the transaction volume.