Improving Zero-Intelligence Plus for Call Markets

Double auctions have been widely employed and studied throughout history. Two particular variants are most commonly employed: The Call Market (CALL), also known as the Periodic Double Auction, and the Continuous Double Auction (CDA). While numerous automated trading strategies exist for the Continuous Double Auction, there is a lack of high performing strategies for CALL. The former auction variant is becoming increasingly popular in the context of energyrelated auctions in Smart Grids. Therefore, there is a need for efficient trading strategies. This paper explores whether a well-performing trading strategy designed for CDA, namely Zero-Intelligence Plus (ZIP) can be used in CALL. We first study the performance of the ZIP trader in CALL without any modifications. We then design several strategies and demonstrate that we can significantly improve the performance of ZIP in CALL while retaining the market’s high efficiency. As a result, our modified ZIP trader can be employed by autonomous agents, e.g. for trading energy in a CALL in the Smart Grid domain.

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