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Maximum Social Surplus-Based Call Auction Trading Mechanism |
XU Xiang-Cun, LI Ping, ZENG Yong |
University of Electronic Science and Technology of China, Chengdu, China |
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Abstract From maximum social surplus, modified Vickrey model was introduced into multiple unit auction market to design an efficient matching algorithm,and the minimum order imbalance, market pressure and reference price were introduced into matching algorithm to form a call auction mechanism, namely min-Max trading mechanism based on the maximum social surplus. The traders' quote strategy was analyzed. The results show that the price manipulation by under-report trading volumes is almost impossible and min-Max trading mechanism produces more social surplus than that of k-double auction.
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Received: 18 September 2007
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