Combination trading with limit orders

DOI10.1155/S1173912697000126MaRDI QIDQ1380535zbMATH OpenOpenAlexFDO

Authors Henry Schellhorn

Publication date 4 March 1998

Published in Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/119543

zbMATH Keywords

homotopyauctionfixed-point algorithmoptimal priceeconomic equilibrium computation

Mathematics Subject Classification ID

Linear programming (90C05) Applications of mathematical programming (90C90) Auctions, bargaining, bidding and selling, and other market models (91B26) Computational methods for problems pertaining to operations research and mathematical programming (90-08) Numerical computation of solutions to systems of equations (65H10)

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Cited in

(4)

• Pricing and clearing combinatorial markets with singleton and swap orders. Efficient algorithms for the futures opening auction problem
• A double-sided multiunit combinatorial auction for substitutes: Theory and algorithms
• A trading mechanism contingent on several indices
• Models for bundle trading in financial markets

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