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Designing bidding strategies in sequential auctions for risk averse agents

机译：在规避风险代理人的顺序拍卖中设计出价策略

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摘要

Designing efficient bidding strategies for sequential auctions represents an important, open problem area in agent-mediated electronic markets. In existing literature, a variety of bidding strategies have been proposed and have been shown to perform with varying degrees of efficiency. However, most of strategies proposed so far do not explicitly model bidders' attitudes towards risk which, in mainstream economic literature, is considered an essential attribute in modeling agent preferences and decision making under uncertainty. This paper studies the effect that risk profiles (modeled through the standard Arrow-Pratt risk aversion measure), have on the bidders' strategies in sequential auctions. First, the sequential decision process involved in bidding is modeled as a Markov Decision Process. Then, the effect that a bidder's risk aversion has on her decision theoretic optimal bidding policy is analyzed, for a category of expectations of future price distributions. This analysis is performed separately for the case of first price and second-price sequential auctions. Next, the bidding strategies developed above are simulated, in order to study the effect that an agent's risk aversion has on the chances of winning a set of complementary-valued items. The paper concludes with an experimental study of how the presence of risk-averse bidders affects both bidder profits and auctioneer revenue, for different market scenarios of increasing complexity.
机译：为顺序拍卖设计有效的出价策略代表了代理商中介的电子市场中一个重要的开放性问题领域。在现有的文献中，已经提出了各种投标策略，并且已经表明它们可以以不同程度的效率来执行。但是，迄今为止提出的大多数策略都没有明确地模拟投标人对风险的态度，在主流经济学文献中，这被认为是对不确定性下的代理商偏好和决策进行建模的必要属性。本文研究了风险概况（通过标准的Arrow-Pratt风险规避度量模型）对顺序拍卖中的竞标者策略的影响。首先，将投标中涉及的顺序决策过程建模为马尔可夫决策过程。然后，针对一类对未来价格分布的期望，分析了投标人的风险规避对其决策理论最优投标策略的影响。对于第一价格和第二价格顺序拍卖，将分别执行此分析。接下来，对上面开发的出价策略进行模拟，以研究代理商的风险规避对赢得一组互补价值项目的机会的影响。本文以实验研究作为结论，在复杂性不断提高的不同市场情况下，规避风险的竞标者的存在如何影响竞标者的利润和拍卖商的收入。

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  • 来源
    《Multiagent and grid systems》 |2010年第6期|p.437-457|共21页
  • 作者

    Valentin Robu; Han La Poutre;

  • 作者单位

    University of Southampton, School of Electronics and Computer Science, Southampton, SO17 1BJ, UK;

    CWI, Center for Mathematics and Computer Science, Kruislaan 413, NL-1098 SJ Amsterdam, The Netherlands;

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