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Multi-unit Double Auctions: Equilibrium Analysis and Bidding Strategy using DDPG in Smart-grids by Chandlekar, Sanjay; Subramanian, Easwar; Bhat, Sanjay; Paruchuri, Praveen; Gujar, Sujit is a scholarly article available to read on EtoBox.

What is Multi-unit Double Auctions: Equilibrium Analysis and Bidding Strategy using DDPG in Smart-grids about?

Periodic double auctions (PDA) have applications in many areas such as in e-commerce, intra-day equity markets, and day-ahead energy markets in smart-grids. While the trades accomplished using PDAs are worth trillions of dollars, finding a reliable bidding strategy in such auctions is still a challenge as it requires the consideration of future auctions. A participating buyer in a PDA has to design its bidding strategy by planning for current and future auctions. Many equilibrium-based bidding strategies proposed are complex to use in real-time. In the current exposition, we propose a scale-based bidding strategy for buyers participating in PDA. We first present an equilibrium analysis for single-buyer single-seller multi-unit single-shot k-Double auctions. Specifically, we analyze the situation when a seller and a buyer trade two identical units of quantity in a double auction where both the buyer and the seller deploy a simple, scale-based bidding strategy. The equilibrium analysis becomes intractable as the number of participants increases. To be useful in more complex settings such as wholesale markets in smart-grids, we model equilibrium bidding strategy as a learning problem.

Author

Chandlekar, Sanjay; Subramanian, Easwar; Bhat, Sanjay; Paruchuri, Praveen; Gujar, Sujit

Published

2022

Language

EN