Algorithm of Call Auction Price

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Algorithm of call auction price is designed according to the determining principles popular in international stock markets. Basing on the algorithm, the roots of good characteristics of call auction are oriented in these principles. Theoretical analysis shows that: 1) by implementing principles of maximum volume, minimum residual, market pressures and reference prices, the candidate transaction price set of call auction is gradually narrowing, which indicates that the algorithm has good convergence; 2) principle of reference prices guarantees the uniqueness of final transaction price; 3) principles of minimum residual and market pressures contribute to reducing price volatility; 4) principles of market pressures and reference prices help to enhance the quality of price discovery.

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Periodical:

Edited by:

Qi Luo

Pages:

981-986

DOI:

10.4028/www.scientific.net/AMM.20-23.981

Citation:

Y. F. Sun et al., "Algorithm of Call Auction Price", Applied Mechanics and Materials, Vols. 20-23, pp. 981-986, 2010

Online since:

January 2010

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Price:

$35.00

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