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Auction prices and asset allocations of the electronic equity trading system Xetra

This paper formalizes the price and asset allocation mechanism of multi-unit double auctions in Xetra, the electronic equity trading system operated by the German stock exchange. The trading principles are embedded into the classical theory of quantity rationing. The properties of Xetra auctions are investigated and possibilities to improve the auction mechanism are discussed.

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Year of publication:	2005
Authors:	Li, Xihao ; Wenzelburger, Jan
Publisher:	Universität Bielefeld
Subject:	Xetra \| Financial markets \| Electronic trading systems \| Multi-unit double auctions \| Market mechanism \| Disequilibrium \| Rationing

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Type of publication:	Other
Language:	English
Source:	BASE

Persistent link: https://www.econbiz.de/10009452510