An Optimization Model for Multi-Asset Batch Auctions with Uniform Clearing Prices

Tom Walther ()
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Tom Walther: Gnosis/Zuse Institute Berlin

A chapter in Operations Research Proceedings 2018, 2019, pp 225-231 from Springer

Abstract: Abstract Conventional asset exchange mechanisms are based on pairwise order books and continuous order matching. Contrasting this, we introduce an alternative exchange and price-finding mechanism that simultaneously considers multiple assets in a discrete-time setting. We present a MIP formulation for this mechanism together with some computational results.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:spr:oprchp:978-3-030-18500-8_29

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DOI: 10.1007/978-3-030-18500-8_29

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