Market model specification: fundamentals of a formal and systematic approach
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| Main Author: | |
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| Format: | Thesis Book |
| Language: | English |
| Published: |
2000
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | III, 104 S. graph. Darst. |
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Record in the Search Index
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Table of contents
1 Introduction 1
1.1 Rationale 1
1.2 Objectives and results 3
1.3 Outline 6
2 Electronic trading systems 7
2.1 Basic terms 7
2.1.1 Trader, buyer, seller 7
2.1.2 Trading, trading process 7
2.1.3 Electronic trading system, market model, trading service 10
2.1.4 A trading system example 11
2.2 Concepts of electronic trading systems 14
2.2.1 Market model 14
2.2.1.1 Auctions 16
2.2.1.2 Hit and take 17
2.2.1.3 Search and negotiation 17
2.2.1.4 The use of orders and offers 18
2.2.1.5 Market model hybrids 19
2.2.2 Trading Service 22
2.3 Xetra Deutsche Borse s electronic trading system 25
2.3.1 Principles and segments 25
2.3.2 Trading and market models 26
2.3.2.1 Orders and trading phases 26
2.3.2.2 Call auctions 26
2.3.2.3 Continuous auction trading 31
2.3.3 Market model hybrids in Xetra 32
3 Trading system specification 33
3.1 Models of markets and distributed systems 33
3.1.1 Market institutions 33
i
34
3.1.2 Distributed systems 3.2 Market model specifications 3.2.1 The Formalism 3.2.2 Trace specifications of market models 37
40
3.3 Market model classifications 43
3.4 Trading service specifications , . 45
3.5 Conclusion in
4 Market model specifications of auctions 48
4.1 Messages 49
4.2 Trading rules 49
4.2.1 Auction start 49
4.2.2 Placement of bids and asks 4.2.3 Publishing bids and asks 4.2.4 Dependence of hit and take on bids and asks 4.2.5 Trade formation dependence on placement of bids and asks 5
52
4.2.6 Trade formation dependence on hit and take 52
4.2.7 Trade components pnce 4.2.8 Trade components bid and ask 56
4.2.9 Number of trades 4.2.10 Timing requirements 4.3 Market model specifications single object, one sided auctions 4.3.1 Order accept 58
4.3.1.1 Accept bid auction 60
4.3.1.2 Accept ask auction 4.3.2 Order matching 4.3.2.1 Open bid auction 4.3.2.2 Open ask auction 4.3.2.3 Closed bid auction 70
4.3.2.4 Closed ask auction 72
4.3.3 Market model specifications double auction
iii
4.4 Market model specifications multiple object, two sided auctions 74
4.4.1 Call auction 74
4.4.2 Continuous auction 75
4.5 Overview 77
5 Auction classifications 81
5.1 Construction 81
5.1.1 Bid auction classification 82
5.1.2 Ask auction classification 85
5.1.3 Classification of one sided auctions 86
5.1.4 Classification of two sided auctions 86
5.2 Structure 87
5.2.1 One sided auction classification 87
5.2.2 Two sided auction classification 91
5.3 Use 92
5.3.1 Systematic search for market models 92
5.3.2 Market model splits 92
5.3.3 New market models 93
6 Conclusion and recommendations for further work 95
References 97
Appendix List of figures and tables 103
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| indexdate | 2024-07-09T18:41:48Z |
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| language | English |
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| spelling | Reck, Martin Verfasser aut Market model specification fundamentals of a formal and systematic approach vorgelegt von Martin Reck 2000 III, 104 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 1999 E-Business / Börsen-Informationssystem / Auktion / Theorie Marktmodell (DE-588)4245169-3 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Marktmodell (DE-588)4245169-3 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009003823&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Reck, Martin Market model specification fundamentals of a formal and systematic approach E-Business / Börsen-Informationssystem / Auktion / Theorie Marktmodell (DE-588)4245169-3 gnd |
| subject_GND | (DE-588)4245169-3 (DE-588)4113937-9 |
| title | Market model specification fundamentals of a formal and systematic approach |
| title_auth | Market model specification fundamentals of a formal and systematic approach |
| title_exact_search | Market model specification fundamentals of a formal and systematic approach |
| title_full | Market model specification fundamentals of a formal and systematic approach vorgelegt von Martin Reck |
| title_fullStr | Market model specification fundamentals of a formal and systematic approach vorgelegt von Martin Reck |
| title_full_unstemmed | Market model specification fundamentals of a formal and systematic approach vorgelegt von Martin Reck |
| title_short | Market model specification |
| title_sort | market model specification fundamentals of a formal and systematic approach |
| title_sub | fundamentals of a formal and systematic approach |
| topic | E-Business / Börsen-Informationssystem / Auktion / Theorie Marktmodell (DE-588)4245169-3 gnd |
| topic_facet | E-Business / Börsen-Informationssystem / Auktion / Theorie Marktmodell Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009003823&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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