A novel method for strategy acquisition and its application to a double-auction market game

Authors:
Steve Phelps;Peter McBurney;Simon Parsons
Affiliations:
Centre for Computational Finance and Economic Agents, University of Essex, Colchester, UK;Department of Computer Science, University of Liverpool, Liverpool, UK;Department of Computer and Information Science, Brooklyn College, City University of New York, Brooklyn, NY
Venue:
IEEE Transactions on Systems, Man, and Cybernetics, Part B: Cybernetics - Special issue on game theory
Year:
2010

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Abstract

We introduce a method for strategy acquisition in nonzero-sum n-player games and empirically validate it by applying it to a well-known benchmark problem in this domain, namely, the double-auction market. Many existing approaches to strategy acquisition focus on attempting to find strategies that are robust in the sense that they are good all-round performers against all-comers. We argue that, in many economic and multiagent scenarios, the robustness criterion is inappropriate; in contrast, our method focuses on searching for strategies that are likely to be adopted by participating agents, which is formalized as the size of a strategy's basins of attraction under the replicator dynamics.