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Periodic Double Auctions (PDAs) are commonly used in the real world fortrading, e.g. in stock markets to determine stock opening prices, and energymarkets to trade energy in order to balance net demand in smart grids,involving trillions of dollars in the process. A bidder, participating in suchPDAs, has to plan for bids in the current auction as well as for the futureauctions, which highlights the necessity of good bidding strategies. In thispaper, we perform an equilibrium analysis of single unit single-shot doubleauctions with a certain clearing price and payment rule, which we refer to asACPR, and find it intractable to analyze as number of participating agentsincrease. We further derive the best response for a bidder with completeinformation in a single-shot double auction with ACPR. Leveraging the theorydeveloped for single-shot double auction and taking the PowerTAC wholesalemarket PDA as our testbed, we proceed by modeling the PDA of PowerTAC as anMDP. We propose a novel bidding strategy, namely MDPLCPBS. We empirically showthat MDPLCPBS follows the equilibrium strategy for double auctions that wepreviously analyze. In addition, we benchmark our strategy against the baselineand the state-of-the-art bidding strategies for the PowerTAC wholesale marketPDAs, and show that MDPLCPBS outperforms most of them consistently.

Bidding in Smart Grid PDAs: Theory, Analysis and Strategy (Extended Version)