Algorithm of Call Auction Price

• DOI: 10.4028/www.scientific.net/amm.20-23.981
• Publication Date: 2010-01-12T11:41:47Z
• Authors: You Fa Sun; Xiao Xiao Liang; Xu Chong Guo; Cai Yan Liu
• Keywords: Price discovery

Algorithm of call auction price is designed according to the determining principles popular in international stock markets. Basing on algorithm, roots good characteristics are oriented these principles. Theoretical analysis shows that: 1) by implementing maximum volume, minimum residual, market pressures and reference prices, candidate transaction set gradually narrowing, which indicates that algorithm has convergence; 2) principle prices guarantees uniqueness final price; 3) residual contribute reducing volatility; 4) help enhance quality discovery.