Analysis of Price Changes in Artificial Double Auction Markets Consisting of Multi-Agents Using Genetic Programming for Learning and Its Applications

Yoshikazu IKEDA
Shozo TOKINAGA

Publication
IEICE TRANSACTIONS on Fundamentals of Electronics, Communications and Computer Sciences   Vol.E90-A    No.10    pp.2203-2211
Publication Date: 2007/10/01
Online ISSN: 1745-1337
DOI: 10.1093/ietfec/e90-a.10.2203
Print ISSN: 0916-8508
Type of Manuscript: Special Section PAPER (Special Section on Nonlinear Theory and its Applications)
Category: Soft Computing
Keyword: 
artificial double auction market,  multi-agents,  genetic programming,  electricity market,  control of chaos,  

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Summary: 
In this paper, we show the analysis of price changes in artificial double auction markets consisting of multi-agents who learn from past experiences based on the Genetic Programming (GP) and its applications. For simplicity, we focus on the double auction in an electricity market. Agents in the market are allowed to buy or sell items (electricity) depending on the prediction of situations. Each agent has a pool of individuals (decision functions) represented in tree structures to decide bid price by using the past result of auctions. A fitness of each individual is defined by using successful bids and a capacity utilization rate of production units for a production of items, and agents improve their individuals based on the GP to get higher return in coming auctions. In simulation studies, changes of bid prices and returns of bidders are discussed depending on demand curves of customers and the weight between an average profit obtained by successful bids and the capacity utilization rate of production units. The validation of simulation studies is examined by comparing results with classical models and price changes in real double auction markets. Since bid prices bear relatively large changes, we apply an approximate method for a control by forcing agents stabilize the changes in bid prices. As a result, we see the stabilization scheme of bid prices in double auction markets is not realistic, then it is concluded that the market contains substantial instability.

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