2013/02/11 by Jinzhong Niu, Niu, Jinzhong, Simon Parsons +1
Computer Science · Economics, Econometrics and Finance · #Computer Science and Game Theory (cs.GT) #FOS: Computer and information sciences #FOS: Economics and business #I.2.11 #Trading and Market Microstructure (q-fin.TR) #cs.GT #q-fin.TR
paper · pdf · doi:10.48550/arxiv.1304.3135
16 pages, 4 figures, full-length version of an extended abstract published at the AAMAS 2013 conference
arxiv created 2013/02/11 · arxiv updated 2013/04/12
In this paper, we introduce a novel, non-recursive, maximal matching algorithm for double auctions, which aims to maximize the amount of commodities to be traded. It differs from the usual equilibrium matching, which clears a market at the equilibrium price. We compare the two algorithms through experimental analyses, showing that the maximal matching algorithm is favored in scenarios where trading volume is a priority and that it may possibly improve allocative efficiency over equilibrium matching as well. A parameterized algorithm that incorporates both maximal matching and equilibrium matching as special cases is also presented to allow flexible control on how much to trade in a double auction.