Multi-Attribute Double Auctions in Financial Trading

Authors:
Henner Gimpel;Juho Makio;Christof Weinhardt
Affiliations:
University of Karlsruhe;University of Karlsruhe;University of Karlsruhe
Venue:
CEC '05 Proceedings of the Seventh IEEE International Conference on E-Commerce Technology
Year:
2005

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Abstract

Double-sided auctions are popular market mechanisms for determining the price of standardized commodities. However, many trades 驴 like for example OTC鹿 trades of financial derivatives and bonds 驴 require multi-attribute handling. To this end, the class of continuous-time multiattribute double auction mechanisms is introduced. The paper outlines requirements, characterizes the class of auction mechanisms, points out design options, and discusses the implementation in the meet2trade虏 system.