Journal of the Korean Operations Research and Management Science Society (한국경영과학회지)

The Korean Operations Research and Management Science Society (한국경영과학회)
권호 표지

A Double Auction Model based on Nonlinear Utility Functions : Genetic Algorithms Approach for Market Optimization

비선형 효용함수 기반의 다중경매 모형 : 시장 최적화를 위한 유전자 알고리즘 접근법

  • 최진호 (세종대학교 경영학부) ;
  • 안현철 (성신여자대학교 사회과학대학 경영학과)
  • Published : 2008.03.31
Download PDF
⟨ Previous Next ⟩

Abstract

In the previous double auction research for the market optimization, two basic assumptions are usually applied - (1) each trader has a linear or quasi-linear utility function of price and quantity, and (2) buyers as well as sellers have identical utility functions. However, in practice, each buyer and seller in a double auction market may have diverse utility functions for trading goods. Therefore, a flexible and integrated double auction mechanism that can integrate all traders' diverse utility functions is necessary. In particular, the flexible mechanism is more useful in a synchronous double auction because traders can properly change utilities in each round. Therefore, in this paper, we propose a flexible synchronous double auction mechanism in which traders can express diverse utility functions for the price and quantity of the goods, and optimal total market utility is guaranteed. In order to optimize the total market utility which consists of multiple complex utility functions of traders. We show the viability of the proposed mechanism through a several simulation experiments.

Keywords

References

  1. 강병서, 김계수, 한글 SPSS 12K 사회과학 통계분석, (주)데이터솔루션, 2005
  2. Ba, S., J. Stallaert, and A.B. Whinston, "Optimal investment in knowledge within a firm using a market mechanism," Management Science, Vol.47, No.9(2001), pp.1203-1219 https://doi.org/10.1287/mnsc.47.9.1203.9781
  3. Babaioff, M. and W.E. Walsh, "Incentivecompatible, budget-balanced, yet highly efficient auctions for supply chain formation," Decision Support Systems, Vol.39, No.1(2005), pp.123-149 https://doi.org/10.1016/j.dss.2004.08.008
  4. Barbuceanu, M. and W.-K. Lo, "Multiattribute utility theoretic negotiation for electronic commerce," Lecture Notes in Computer Science, Vol.2003(2001), pp.15-30
  5. Chambers, L.D., The Practical Handbook of Genetic Algorithms：Applications, Second Edition, Chapman and Hall CRC, Boca Raton, FL, 2001
  6. Chen, S.-H., "Toward an agent-based computational modeling of bargaining strategies in double auction markets with genetic programming," Lecture Notes in Computer Science, Vol.19, No.83(2000), pp.517-531
  7. Cliff, D., "Explorations in evolutionary design of online auction market mechanisms," Electronic Commerce and Research Applications, Vol.2(2003), pp.162-175 https://doi.org/10.1016/S1567-4223(03)00017-6
  8. Dawid, H. "On the convergence of genetic learning in adouble auction market,' Journal of Economic Dynamics and Control, Vol.23(1999), pp.1545-1567 https://doi.org/10.1016/S0165-1889(98)00083-9
  9. Despotovic, Z., J.-C. Usunier, and K. Aberer, "T owards peer-to-peer double auctioning," Proceedings of the 37th annual Hawaii international conference on system sciences (HICSS-37), Waikoloa, Big Island, HI, (2004), pp.289-296
  10. Fan, M., J. Stallaert, and A.B. Whinston, "The design and development of a financial cybermarket with a bundle trading m echanism," International Journal of Electronic Commerce, Vol.4, No.1(1999), pp.5-22
  11. Friedman, D., "The double auction market institutions：a survey," Proceedings of the Workshop on Double Auction Markets, Santa Fe Institute Studies in the Science of Complexity, New Mexico, 1991, pp.3-25
  12. Han, J. and M . Kamber, Datamining： Concept and Technique, Morgan Kaufmann Publishers, San Francisco, 2001
  13. Hsu, W.-T. and V.-W. Soo, "Market performance of adaptive trading agents in synchronous double auctions," Lecture Notes in Computer Science, Vol.21, No.32
  14. Huang, P., A. Scheller-Wolf, and K. Sycara, "Design of a multi-unit double auction emarket," Computational Intelligence, Vol.18, No.4(2002), pp.596-617 https://doi.org/10.1111/1467-8640.t01-1-00206
  15. Maille, P. and B. Tuffin, "An auction-based pricing scheme for bandwidth sharing with history-dependent utility functions," Proceeding of the First International Workshop on Incentive Based Computing (IBC '05), Compiegne, France, 2005
  16. Mas-Colell, A., M.D. Whiston, and J.R. Green, Microeconomic theory, Oxford University Press, Oxford, UK, 1995
  17. Myerson, R. and M. Satterthwaite, "Efficient mechanisms for bilateral trading," Journal of Economic Theory, Vol.29, No.2(1983), pp.265-281 https://doi.org/10.1016/0022-0531(83)90048-0
  18. Sadrieh, A., "The alternating double auction market：a game theoretic and experimental investigation," Lecture Notes in Economics and Mathematics System, Vol.466(1998), pp.6-13
  19. Shneidman, J. and D.C. Parkes, "Rationality and self-interest in peer to peer networks," Lecture Notes in Computer Science, Vol.27. No.35(2003), pp.139-148
  20. Tewari, G., Youll, J., and P. Maes, "Personalized location-based brokering using an agentbased intermediary architecture," Decision Support Systems, Vol.34, No.2(2003), pp.127-137 https://doi.org/10.1016/S0167-9236(02)00076-3
  21. Xia, M., J. Stallaert, and A.B. Whinston, "Solving the combinatorial double auction problem," European Journal of Operational Research, Vol.164, No.1(2005), pp.239-251 https://doi.org/10.1016/j.ejor.2003.11.018