Auctions in Exchange Trading Systems: Modeling Techniques and Algorithms
Buch in deiner Nähe kaufen
Beschreibung
This work presents models and algorithms that find their application in real-world auctions, such as futures opening auctions, European electricity auctions and European natural gas auctions.
Modern exchange trading systems facilitate the market participants to electronically submit detailed information about their buy and sell preferences. With the help of so-called combinatorial orders, they can buy or sell several different items at once.
Tradable items are, for instance, company shares, futures contracts, electricity, or natural gas. The most basic combinatorial order is the fill-or-kill order in stock exchanges. This order is either executed entirely or not executed at all. Combinatorial orders are also available in electricity exchanges and in futures exchanges. An exchange usually determines a single price for each class of tradable items. In the absence of combinatorial orders, these prices can be determined separately. However, if there are combinatorial orders that comprise several item classes, then the prices must be determined simultaneously. This is necessary in order to make the prices for combinatorial orders consistent with the ones of the underlying item classes.
The first part of this work presents general modeling techniques and algorithms. For instance, we present a framework model for auctions in which the prices for several classes of items are determined simultaneously. Roughly speaking, we perform several auctions in parallel and integrate the combinatorial orders in such a way that they couple the parallel auctions among each other. For a certain class of combinatorial auctions this work provides model formulations that are solvable in polynomial time. For the general case, where the problem is NP-hard, we provide model formulations and algorithms which are fast enough such that they can be used in practice.
In the second part of this work, we present specific auction models for futures opening auctions, European day-ahead electricity auctions, and European natural gas auctions. Thereby we apply our general models and algorithms, go into problem specific details, and perform numerical tests on real-world instances.
Autor*in
Johannes Müller
Short Academic CV:
2014: Ph.D. in Applied Mathematics (Discrete Optimization) at the University of Erlangen-Nürnberg, Germany.
2009: Master thesis / Diplomarbeit about Electricity Market Coupling at Deutsche Börse Systems.
2006-2007: Studies at the University of Coimbra, Portugal.
2004-2009: Studies of Mathematics at the Technical University of Darmstadt, Germany.
Themen in »Auctions in Exchange Trading Systems: Modeling Techniques and Algorithms«
auctions/bidding complementarity constraints electricity market futures market goal programming market coupling mixed integer programming natural gas market