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- W3143249581 abstract "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" @default.
- W3143249581 created "2021-04-13" @default.
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- W3143249581 date "2004-01-01" @default.
- W3143249581 modified "2023-09-24" @default.
- W3143249581 title "Price Formation and Asset Allocations of the Electronic Trading System Xetra" @default.
- W3143249581 hasPublicationYear "2004" @default.
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