Title: Pure and mixed strategies for programmed trading in a periodic double auction
Authors: Precha Thavikulwat, Sharma Pillutla
Addresses: Department of Management, College of Business and Economics, Towson University, Towson, MD 21252-0001, USA. ' Department of e-Business and Technology Management, College of Business and Economics, Towson University, Towson, MD 21252-0001, USA
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.
Keywords: cellular connection services; clearinghouse efficiency; electricity trading; equilibrium; market efficiency; mixed strategy; periodic double auction; discriminatory pricing; programmed trading; shuffling algorithm; marginal sellers; transaction price; bidding price.
International Journal of Applied Decision Sciences, 2008 Vol.1 No.3, pp.338 - 358
Published online: 13 Nov 2008 *Full-text access for editors Access for subscribers Purchase this article Comment on this article