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

fYear

2009

fDate

20-22 Sept. 2009

Firstpage

1

Lastpage

4

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;

fLanguage

English

Publisher

ieee

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

Type

conf

DOI

10.1109/ICMSS.2009.5304544

Filename

5304544