Automated trading in electronic markets is one of the most common and consequential applications of autonomous software agents. Design of effective trading strategies requires thorough understanding of how market mechanisms operate, and appreciation of strategic issues that commonly manifest in trading scenarios. Drawing on research in auction theory and artificial intelligence, this book presents core principles of strategic reasoning that apply to market situations. The author illustrates trading strategy choices through examples of concrete market environments, such as eBay, as well as abstract market models defined by configurations of auctions and traders. Techniques for addressing these choices constitute essential building blocks for the design of trading strategies for rich market applications.The lecture assumes no prior background in game theory or auction theory, or artificial intelligence.Table of Contents: Introduction / Example: Bidding on eBay / Auction Fundamentals / Continuous Double Auctions / Interdependent Markets / Conclusion
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accordion agent bids agent i’s allocation analysis arbitrage Artificial Intelligence assumption auction mechanism auction theory automated trading Bayesian network behavior bid price bidding strategy bundle buyer chapter Cited on page(s complex compute conditional defined depends double auction Dutch auction E[vj eBay auction employed English auction English open example expected profit expected value first-price FPSB game theory game-theoretic given heuristic interdependent markets interdependent values machine learning marginal value market environment market mechanisms multiple Nash equilibrium observed obtain ofbidding offers one-shot one’s open outcry opportunities optimal bid order book other-agent outcomes predicted prices price distribution price prediction price quotes proxy bidding relevant scenario second-price auctions Section self-confirming price sell seller signals simulation simultaneous sniping specific SPSB StraightMV strategic issues submitted surplus target TargetMV trading agent design trading strategies units valuation vector Wellman winner winning zero