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

In: Operations Research Proceedings 2018

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  • Tom Walther

    (Gnosis/Zuse Institute Berlin)

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.

Suggested Citation

  • Tom Walther, 2019. "An Optimization Model for Multi-Asset Batch Auctions with Uniform Clearing Prices," Operations Research Proceedings, in: Bernard Fortz & Martine LabbĂ© (ed.), Operations Research Proceedings 2018, pages 225-231, Springer.
    • Handle: RePEc:spr:oprchp:978-3-030-18500-8_29
    DOI: 10.1007/978-3-030-18500-8_29
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