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Colloquium - Tesauro

Bots vs. Humans in the Continuous Double Auction
Gerry Tesauro
IBM Thomas J. Watson Research Center

The Continuous Double Auction (CDA) is the dominant market institution for real-world trading of securities, commodities, derivatives, etc. This talk describes a recent series of laboratory experiments that, for the first time, allowed human subjects to interact with software bidding agents in a simulated CDA market. Our bidding agents used strategies based on extensions of the recently published Gjerstad-Dickhaut (1998) and Zero-Intelligence-Plus (Cliff, 1997) algorithms. Surprisingly, agents obtained a consistently large edge in profitability over humans in each of the experiments. This was unexpected because efficiencies in previous all-human CDA experiments were extremely close to theoretical perfection. Another unexpected finding is persistent far-from-equilibrium trading; this differs from the robust convergence to equilibrium in previous all-human or all-agent experiments. In this talk, we consider possible explanations for these empirical findings, and speculate on the implications for future agent-human interactions in large e-commerce marketplaces.

Hosted by Michael Mozer.
Refreshments will be served immediately following the talk in ECOT 831.

Department of Computer Science
University of Colorado Boulder
Boulder, CO 80309-0430 USA
May 5, 2012 (14:13)