Microeconomic foundation of investment decisions for electronic security trading systems [Elektronische Ressource] / vorgelegt von Li Xihao

Microeconomic Foundation ofInvestment Decisions for ElectronicSecurity Trading SystemsInauguraldissertation zur Erlangung des Grades eines Doktorsder Wirtschaftsswissenschaften (Dr. rer. pol.) an der Fakult¨atfu¨r Wirtschaftswissenschaften der Universit¨at Bielefeldvorgelegt vonLi Xihao , M. Sc.May 21, 2010First Supervisor: Prof. Dr. Jan WenzelburgerCentre for Economic ResearchKeele UniversitySecond Supervisor: Prof. Dr. Herbert DawidDepartment of EconomicsBielefeld UniversityContentsIntroduction 11 Xetra Auction Market Mechanism 91.1 Demand and Supply Schedule . . . . . . . . . . . . . . . . . . . . 91.1.1 Demand-to-buy Schedule . . . . . . . . . . . . . . . . . . . 101.1.2 Supply-to-sell Schedule . . . . . . . . . . . . . . . . . . . . 121.2 Xetra Auction Price Mechanism . . . . . . . . . . . . . . . . . . . 141.2.1 Trading Volume and Surplus . . . . . . . . . . . . . . . . . 151.2.2 Xetra Auction Price Model . . . . . . . . . . . . . . . . . . 151.3 Xetra Auction Allocation Mechanism . . . . . . . . . . . . . . . . 191.3.1 Xetra Auction Allocation Model . . . . . . . . . . . . . . . 201.3.2 Properties of Xetra Auction Allocation Mechanism . . . . 212 Improvement on Auction Price Mechanism 252.1 Properties of Xetra Auction Price Mechanism . . . . . . . . . . . 252.2 Improvement on Auction Pricing Rules . . . . . . . . . . . . . . . 272.2.1 Equivalent Auction Pricing Rules . . . . . . . . . . . . . . 282.2.2 Improved Auction Pricing Rules . .