Price Formation and Asset Allocations of the Electronic Trading System Xetra
AbstractIn the past decades, the amount of worldwide security transactions that was processed by electronic trading platforms increased significantly. In this paper we develop a theoretical framework for the pricing of limit orders of the Electronic Security Trading System Xetra operated by the German stock exchange (Deutsche Boerse) in Frankfurt, Germany. We investigate the fundamental trading principles of the Xetra System showing that it is a multi-unit double auction. We formalize the price formation and provide conditions under which a unique so-called Xetra Price exists. It is shown that this price may not be market clearing in the sense of Walrasian equilibrium. We formalize the rationing mechanism of Xetra which determines the asset allocation and analyze its properties. This paper may serve as a first step towards the analysis of the dynamics of prices and asset allocations in electronic trading systems
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2004 with number 198.
Date of creation: 11 Aug 2004
Date of revision:
Capital asset pricing; financial markets; multi-unit double auctions;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- D44 - Microeconomics - - Market Structure and Pricing - - - Auctions
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Agnes E. Walker & Stephen Colagiuri, 2011. "Cost-Benefit Model System of Chronic Diseases in Australia to Assess and Rank Prevention and Treatment Options," International Journal of Microsimulation, Interational Microsimulation Association, vol. 4(3), pages 57-70.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).
If references are entirely missing, you can add them using this form.