Article ID: | iaor20053162 |
Country: | Netherlands |
Volume: | 160 |
Issue: | 1 |
Start Page Number: | 88 |
End Page Number: | 105 |
Publication Date: | Jan 2005 |
Journal: | European Journal of Operational Research |
Authors: | Crainic Teodor Gabriel, Gendreau Michel, Abrache Jawad |
Keywords: | bidding, game theory |
Bundle trading is a new trend in financial markets that allows traders to submit consolidated orders to sell and buy packages of assets. We propose a new bundle-based market-clearing formulation for portfolio balancing that extends the previous models in the literature through a more detailed representation of portfolios and the formulation of new bidding requirements. We also present post-optimality tie-breaking procedures intended to discriminate between equivalent orders on the basis of submission times. Numerical results evaluate the “bundle” effect as well as the bidding flexibility and the computational complexity of the formulation.