基于动态Hurwicz准则的连续双向拍卖报价策略研究  

Bidding Strategy in Continuous Double Auction Based on Dynamic Hurwicz Criterion

作　　者：詹文杰[1] 白延涛[1] 

机构地区：[1]华中科技大学管理学院

出　　处：《管理学报》2014年第3期416-420,共5页Chinese Journal of Management

基　　金：国家自然科学基金资助项目(70871045);教育部留学回国人员科研启动基金资助项目;湖北省人文社会科学重点研究基地现代信息管理研究中心资助项目(2013WZ005);教育部人文社会科学基金资助项目(10YJC630329)

摘　　要：针对连续双向拍卖市场中报价决策的复杂性问题,运用严格不确定决策中的Hurwicz准则,提出了3种动态调整乐观系数λ的报价策略,分别为λ-凹、λ-线性和λ-凸,并通过仿真实验比较了3种策略的收益差异。研究发现,无论在何种类型的市场中,λ-凹策略均可获得最大收益,即乐观系数λ的调整"先慢后快"是最优策略。For the complexity of studying the bidding strategy in a continuous double auction （CDA） market, this paper applies the Hurwicz criterion, an important criterion for decision making under uncertain- ty, to investigate the problem. Three dynamic Hurwicz strategies are provided. They are named as λ-con- cave, ）,-line, and ）,-convex respectively. Simulation results show that the ）,-concave always makes the maximal profit among the three strategies under different types of market environments. It means that ＂slowly first then fast afterwards＂ is the best adjustment of parameterλ for agents in a CDA.

关 键 词：连续双向拍卖 报价决策 Hurwicz准则 仿真 

分 类 号：C93[经济管理—管理学] F202