The structure and behaviour of the continuous double auction

FACULTY OF ENGINEERING, SCIENCE AND MATHEMATICS SCHOOL OF ELECTRONICS AND COMPUTER SCIENCE Doctor of Philosophy by Perukrishnen Vytelingum The last decade has seen a shift in emphasis from centralised to decentralised systems to meet the demanding coordination requirements of today’s complex computer systems. In such systems, the aim is to achieve effective decentralised control through autonomous software agents that perform local decision-making based on incomplete and imperfect information. Specifically, when the various agents interact, the system behaves as a computational ecology with no single agent coordinating their actions. In this thesis, we focus on one specific type of computational ecology, the Continuous Double Auction (CDA), and investigate market-oriented approaches to decentralised control. In particular, the CDA is a fixed-duration auction mechanism where multiple buyers and sellers compete to buy and sell goods, respectively, in the market, and where transactions can occur at any time whenever an offer to buy and an offer to sell match. Now, in such a market mechanism, the decentralised control is achieved through the decentralised allocation of resources, which, in turn, is an emergent behaviour of buyers and sellers trading in the market. The CDA was chosen, among the plenitude of auction formats available, because it allows efficient resource allocation without the need of a centralised auctioneer. Against this background, we look at both the structure and the behaviour of the CDA in our attempt to build an efficient and robust mechanism for decentralised control. We seek to do this for both stable environments, in which the market demand and supply do not change and dynamic ones in which there are sporadic changes (known as market shocks). While the structure of the CDA defines the agents’ interactions in the market, the behaviour of the CDA is determined by what emerges when the buyers and sellers compete to maximise their individual profits. In more detail, on the structural aspect, we first look at how the market protocol of the CDA can be modified to meet desirable properties for the system (such as high