Combinatorial double auctions

Developing a capacity to process combined-value orders


Combinatorial Orders (CO) are requests to purchase or sell combinations of securities (e.g., buy ANZ AND BHP at a combined price of $70 or less but not separately; sell ANZ OR BHP at a price of $30 or more but not both). They are also referred to as "combined-value orders" or "package orders."  We are developing the capacity to process COs in the standard electronic financial-markets exchange mechanism, namely, the open-book system (as used by, among others, ASX, Euronext and others).


Abhijeet Anand, Peter Bossaerts, Nitin Yadav

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