Title :
Multiple Criteria Evaluation of Price Limit in Continuous Double Auction Market
Author :
Yang, Jie ; Zhan, Wenjie
Author_Institution :
Coll. of Econ. & Manage., Wuhan Univ. of Sci. & Eng., Wuhan, China
Abstract :
This paper tries to find out the optimal price limit in a simulated continuous double auction (CDA) market. We firstly examine the effects of price limit on the performance of CDA market, such as the market efficiency, the price dispersion, the transaction volume, and the average transaction price. Then the evaluation of price limit is given according to multiple criteria chosen from the simulation results. The finding of this paper helps to answer the question what is the appropriate level of price limit in CDA markets, as well as in order-driven stock exchanges.
Keywords :
marketing; pricing; average transaction price; continuous double auction market; market efficiency; order-driven stock exchange; price dispersion; price limit multiple criteria evaluation; transaction volume; Costs; Delay effects; Dispersion; Educational institutions; Engineering management; Environmental economics; Interference; Regulators; Stock markets; Technology management;
Conference_Titel :
Management and Service Science, 2009. MASS '09. International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-4638-4
Electronic_ISBN :
978-1-4244-4639-1
DOI :
10.1109/ICMSS.2009.5304544
