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A Uniform-Price Method for Contract Auctions: (English)

A Uniform-Price Method for Contract Auctions: (English)

          
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About the Book

This dissertation, "A Uniform-price Method for Contract Auctions" by Kangle, Yang, 楊康樂, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: Abstract of thesis entitled A UNIFORM-PRICE METHOD FOR CONTRACT AUCTIONS submitted by YANG Kangle for the degree of Master of Philosophy at The University of Hong Kong in July 2005 Prediction of the economic events, such as the unemployment rate, is an interesting problem in financial markets. One approach is to make use of market force to do the prediction. An auction mechanism is employed as the platform to collect the bids which represents the probability of the concerned event, which is divided into independent and exclusive states. Then the price of each state is determined by the bids on it. Combina- tional contract auction is employed to enhance liquidity and transparency in the trading platform. Theobjectiveofthestudywastofindthemarketdrivenpriceforeachstate. Therehas beenacommerciallyavailablemethodcallPari-mutuelDigitalContractAuction(PDCA) invented by Longitude company. However, the method has difficulty in computational speed and the price fairness. We proposed a new technique using the high-price-win principle of auction. The main procedure is to qualify orders by linear programming, and then to set up the linear price constraints by qualification results. Finally, the price of eachstateisdeterminedbytheconstraintswithquadraticobjectives. Boththetheoretical and experimental results demonstrate the effectiveness and the efficiency of the proposed method. For a practically large problem which contains thousands of orders, our method took only a few seconds to solve it, and the estimated price was close to the actual price in our simulation study. DOI: 10.5353/th_b3200306 Subjects: Auctions - Mathematical models Pricing - Mathematical models


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Product Details
  • ISBN-13: 9781361234297
  • Publisher: Open Dissertation Press
  • Publisher Imprint: Open Dissertation Press
  • Height: 279 mm
  • No of Pages: 100
  • Spine Width: 8 mm
  • Width: 216 mm
  • ISBN-10: 1361234296
  • Publisher Date: 26 Jan 2017
  • Binding: Hardback
  • Language: English
  • Series Title: English
  • Weight: 531 gr


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