کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9664103 | 1446257 | 2005 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Models for bundle trading in financial markets
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موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
Bundle trading is a new trend in financial markets that allows traders to submit consolidated orders to sell and buy packages of assets. We propose a new bundle-based market-clearing formulation for portfolio balancing that extends the previous models in the literature through a more detailed representation of portfolios and the formulation of new bidding requirements. We also present post-optimality tie-breaking procedures intended to discriminate between equivalent orders on the basis of submission times. Numerical results evaluate the “bundle” effect as well as the bidding flexibility and the computational complexity of the formulation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 160, Issue 1, 1 January 2005, Pages 88-105
Journal: European Journal of Operational Research - Volume 160, Issue 1, 1 January 2005, Pages 88-105
نویسندگان
Jawad Abrache, Teodor Gabriel Crainic, Michel Gendreau,