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| Author: | Abrache, J. Crainic, T.G. Gendreau, M. |
| Title: | Models for bundle trading in financial markets |
| Journal: | European Journal of Operational Research
2005 : JAN, VOL. 160:1, p. 88-105 |
| Index terms: | Financial markets Trading Auctions Models |
| Language: | eng |
| Abstract: | Bundle trading is a new trend in financial markets allowing traders to submit consolidated orders to sell and buy packages of assets. This paper proposes a new bundle-based market-clearing formulation for portfolio (henceforth as: p-fol./p-fols.) balancing that extends the previous models in the literature through a more detailed representation of p-fols. and the formulation of new bidding requirements. In addition, post-optimality tie-breaking procedures are presented intended to discriminate btw. 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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