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AstonCAT-Plus An Efficient Specialist for the TAC Market Design Tournament

Meng Chang

EAS, Aston

Date: 18 Oct 2011 (Tuesday)
Time: 14:00 - 15:00
Venue: MB565
Abstract

The International Trading Agent Competition (TAC) Mechanism Design Tournament, also known as CAT, provides an environment for investigating the competitiveness of different mechanisms designed for double auction market like NYSE and LSE. Entrants of CAT have the objective to make their market attractive, profitable and efficient measured by score of market share, profit share and transaction success rate (TSR) respectively. This paper describes the strategies used by AstonCAT-Plus, the post-tournament version of the specialist designed for the TAC Market Design Tournament 2010. It details how AstonCAT-Plus accepts shouts, clears market, sets transaction prices and charges fees for its services. Through empirical evaluation, we show that AstonCAT-Plus not only outperforms AstonCAT (tournament version) significantly but also achieves the highest allocative efficiency, transaction success rate and average trader profit among all the specialists in our controlled experiments. In addition, we analysed the trader's distribution and trading strategy preference for each specialist in our experiments.

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