Pure and mixed strategies for programmed trading in a periodic double auction
by Precha Thavikulwat, Sharma Pillutla
International Journal of Applied Decision Sciences (IJADS), Vol. 1, No. 3, 2008

Abstract: For programmed trading of electricity, cellular connection services, and other homogeneous goods in a periodic double auction, we consider rules for an efficient clearinghouse and conclude by suggesting discriminatory pricing over uniform pricing. When the transaction price is the bidding price, we suggest reporting the lowest transaction price of each period, encouraging marginal buyers by giving consolation awards to near-successful bidders, and discouraging marginal sellers by applying First-In-First-Out (FIFO) with shuffling to multiple offers that have the same reserved asking price. We differ from others in finding a loss of efficiency that accompanies entry by marginal sellers.

Online publication date: Thu, 13-Nov-2008

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