Books : Models for bundle trading in financial markets [An article from: European Journal of Operational Research]
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Format: HTML
Label: Elsevier
Manufacturer: Elsevier
Publication Date: January 01, 2005
Publisher: Elsevier
Studio: Elsevier
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Product Description:
This digital document is a journal article from European Journal of Operational Research, published by Elsevier in 2005. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
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.
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