Improved Auction Price Mechanism for Electronic Security Trading Platform

25 Pages Posted: 27 Aug 2010 Last revised: 10 Dec 2012

See all articles by Xi Hao Li

Xi Hao Li

Università Politecnica delle Marche - Department of Economics

Date Written: December 8, 2012

Abstract

By reviewing the current Xetra auction price mechanism and analyzing its economic properties, we discover that Xetra auction price is generically non market-clearing and that only limit prices are considered as Xetra auction price, which prevents a market-clearing price but not a limit price from being Xetra auction price even when this situation exists in the market. Then we construct in a step-by-step manner improved auction pricing rules that serve as an improvement on Xetra auction pricing rules from the perspective of market efficiency.

Keywords: Market Microstructure, Multi-Unit Double Auction, Electronic Security Trading Platform, Xetra

JEL Classification: D4, D5, G1

Suggested Citation

Li, Xi Hao, Improved Auction Price Mechanism for Electronic Security Trading Platform (December 8, 2012). Available at SSRN: https://ssrn.com/abstract=1666250 or http://dx.doi.org/10.2139/ssrn.1666250

Xi Hao Li (Contact Author)

Università Politecnica delle Marche - Department of Economics ( email )

Piazzale Martelli 8
Ancona, Marche 60121
Italy

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