Combination trading with limit orders
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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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