The fifth week was a fun one. I spent some time just cleaning up the code I had been working with so we could send our new stuff to IBM. Throughout that process I made some subtle adjustments to some of the algorithms, and some new observations as well.
There are a couple of new algorithms listed in the results below. Both AGH and ARG are simpler versions of the ZIP/CLIFF idea. ARG is simpler than AGH.
We investigated three different ways of dealing with old orders. One way was to have old orders expire after a certain amount of time. Another was to allow agents to revise their old orders if they wanted to. And a third was to allow agents to revise, but to expire their orders if they took too long to revise. We got some interesting results:
Results with the expiration policy but NO revision option:
Algorithm | Avg. Efficiency* | Trade Ratio** |
1. GDS(mem=1) | 0.997633 | 0.964333 |
2. GDL(mem=1) | 0.994967 | 0.958167 |
3. AGH | 0.993367 | 0.982000 |
4. ARG | 0.992100 | 0.987833 |
5. ZIP | 0.990900 | 0.981833 |
6. CLIFF | 0.989233 | 0.980167 |
7. PVT | 0.973067 | 0.964500 |
8. GDT(mem=1) | 0.963900 | 0.952333 |
9. ZIC | 0.913000 | 0.864833 |
Results with the expiration policy AND the revision option:
Algorithm | Avg. Efficiency* | Trade Ratio** |
1. AGH | 0.996067 | 0.991333 |
2. CLIFF | 0.994567 | 0.994167 |
3. ZIP | 0.994133 | 0.994833 |
4. ARG | 0.994100 | 0.996333 |
5. PVT | 0.992133 | 0.999167 |
6. GDL(mem=1) | 0.986833 | 0.951500 |
7. GDS(mem=1) | 0.982600 | 0.939167 |
8. ZIC | 0.947967 | 0.944833 |
9. GDT(mem=1) | 0.916700 | 0.883833 |
Results with the revision option but NO expiration policy:
Algorithm | Avg. Efficiency* | Trade Ratio** |
1. AGH | 0.995300 | 0.994333 |
2. CLIFF | 0.995233 | 0.996167 |
3. ARG | 0.994933 | 0.997333 |
4. ZIP | 0.994900 | 0.995167 |
5. PVT | 0.992667 | 0.997667 |
6. ZIC | 0.951700 | 0.947167 |
7. GDL(mem=1) | 0.779233 | 0.689333 |
8. GDS(mem=1) | 0.665667 | 0.585333 |
9. GDT(mem=1) | 0.660800 | 0.613500 |
* - Average efficiency is the ratio of actual surplus to theoretical surplus.
** - Trade ratio is the ratio of the actual number of trades to the theoretical number of trades.