Price Formation and Asset Allocations of the Electronic Trading System Xetra
In 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
To our knowledge, this item is not available for
download. To find whether it is available, there are three
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.
|Date of creation:||11 Aug 2004|
|Date of revision:|
|Contact details of provider:|| Web page: http://comp-econ.org/|
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:sce:scecf4:198. See general information about how to correct material in RePEc.
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.