Improved Auction Price Mechanism for Electronic Security Trading Platform

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