A trading mechanism contingent on several indices

DOI10.1016/J.EJOR.2011.03.031MaRDI QIDQ2275808zbMATH OpenOpenAlexFDO

Authors Henry Schellhorn

Publication date 10 August 2011

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2011.03.031

zbMATH Keywords

limit ordersmarket microstructuretrading systems

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Trade models (91B60) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A double-sided multiunit combinatorial auction for substitutes: Theory and algorithms
• A multi-attribute e-auction mechanism for procurement: theoretical foundations
• A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets
• Allocative efficiency in simulated multiple-unit combinatorial auctions with quantity support
• Combination trading with limit orders
• Combinatorial auction design
• Electronic marketplaces: A literature review and a call for supply chain management research
• Homotopies for computation of fixed points
• scientific article; zbMATH DE number 3177183 (Why is no real title available?)
• On the robustness of non-linear personalized price combinatorial auctions
• Pricing combinatorial auctions.
• The Feasibility of an Index-Contingent Trading Mechanism
• The package assignment model.
• Trading grid services - a multi-attribute combinatorial approach
• Using bid data for the management of sequential, multi-unit, online auctions with uniformly distributed bidder valuations

Cited in

(2)

• The Feasibility of an Index-Contingent Trading Mechanism
• Call auctions with contingent orders

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