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Game theory and multi-commodity markets

Author(s):

Goran Jevdjic, Danijel Veljkovic
Conference/Journal:

Semester Thesis, FS12 (10143)
Abstract:

The two auction mechanisms that weĺve analysed in this work, namely the standard double auction and the tłatonnement auction are actually very different in practise, but seem to get similar results when trading with only one commodity. The focus is to find similarities between the two auctions but also differences, especially if participants start bidding strategically and manipulate the clearing price. The effect of dishonest behaviour on the individual profits and the social welfare will be investigated. In addition to that, the two auctions will be compared when more than one commodity is being traded and the costs of the commodities are coupled. But as soon as there are two or more commodities, the tłatonnement auction seems to have some advantages and thus gets better results as the double auction. As the double auction is used to clear intra day markets, our motivation is to find out whether it would be better to dispose the standard double auction and instead use the tłatonnement auction to clear markets. Besides that, a model for both auctions was implemented in MATLAB to simulate the market clearing and compare the results with the theoretical results.

Year:

2012
Type of Publication:

(13)Semester/Bachelor Thesis
Supervisor:

J. Warrington

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% Autogenerated BibTeX entry
@PhdThesis { JevVel:2012:IFA_4163
}
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