Optimal Time-Constrained Trading Strategies for Autonomous Agents
Optimal Time-Constrained Trading Strategies for Autonomous Agents
复制标题
自治代理的最优时间约束交易策略
DOI：
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发表时间：
2000
期刊：
影响因子：
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通讯作者：
Jiming Liu
中科院分区：
文献类型：
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作者：
Samuel P. M. Choi;Jiming Liu
互联网技术的出现使电子交易日益普及。然而，现有的电子交易系统仍然严重依赖于人类的决策。为了促进新的交易环境，一个主要的趋势是雇用自主代理人作为人类买家和卖家的代表。特别是，给定用户需求和强加的最后期限，自治代理必须代表其所有者从电子市场中搜索可能的交易。这样的代理必须面对的一个问题是：给定一组报价和剩余时间，我应该接受当前最好的报价，还是冒着失去当前报价的风险继续寻找更好的报价？类似的时间约束交易问题在很久以前就已经被马尔可夫决策过程社区研究过了。在本文中，我们通过采用适合于电子交易环境的假设来改变配方，并根据代理人的期望效用推导出最优交易策略。提出了三种优化方法，以减少无限状态空间到一个具有可管理的大小。实验结果验证了该方法在实际应用中的有效性。
The advent of Internet technology has made electronic trading increasingly popular. Nevertheless, existing electronic trading systems still heavily rely on human decision making. In order to facilitate the new trading environment, one of the main trends is to employ autonomous agents as representatives of human buyers and sellers. In particular, given a user requirement and an imposed deadline, an autonomous agent has to search for possible deals from an electronic marketplace on behalf of its owner. One problem such an agent must face is: given a collection of offers and the remaining time, should I accept the current best offer, or continue to search for a better one, at a risk of losing the current offers? Similar time-constrained trading problems have been studied long time ago by the Markov decision process community. In this paper, we alter the formulation by adopting assumptions suitable for electronic trading environments, and derive the optimal trading strategy in terms of the agent's expected utility. Three optimization methods are proposed in order to reduce the infinite state space into the one with a manageable size. Experimental results verify the effectiveness of the methods for practical use.