{"title":"On Using Proportional Representation Methods as Alternatives to Pro-rata Based Order Matching Algorithms in Stock Exchanges","authors":"Sanjay Bhattacherjee, Palash Sarkar","doi":"10.1007/s10614-024-10576-7","DOIUrl":null,"url":null,"abstract":"<p>The first observation of the paper is that methods for determining proportional representation in electoral systems may be suitable as alternatives to the pro-rata order matching algorithm used in stock exchanges. The main part of our work is to comprehensively consider various well known proportional representation methods and analyse in details their suitability for replacing the pro-rata algorithm. Our analysis consists of a theoretical study as well as simulation studies based on data sampled from a distribution which has been suggested in the literature as models of limit orders. Based on our analysis, we put forward the suggestion that the well known Hamilton’s method is a superior alternative to the pro-rata algorithm for order matching applications.</p>","PeriodicalId":50647,"journal":{"name":"Computational Economics","volume":"22 1","pages":""},"PeriodicalIF":1.9000,"publicationDate":"2024-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Computational Economics","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1007/s10614-024-10576-7","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
The first observation of the paper is that methods for determining proportional representation in electoral systems may be suitable as alternatives to the pro-rata order matching algorithm used in stock exchanges. The main part of our work is to comprehensively consider various well known proportional representation methods and analyse in details their suitability for replacing the pro-rata algorithm. Our analysis consists of a theoretical study as well as simulation studies based on data sampled from a distribution which has been suggested in the literature as models of limit orders. Based on our analysis, we put forward the suggestion that the well known Hamilton’s method is a superior alternative to the pro-rata algorithm for order matching applications.
期刊介绍：
Computational Economics, the official journal of the Society for Computational Economics, presents new research in a rapidly growing multidisciplinary field that uses advanced computing capabilities to understand and solve complex problems from all branches in economics. The topics of Computational Economics include computational methods in econometrics like filtering, bayesian and non-parametric approaches, markov processes and monte carlo simulation; agent based methods, machine learning, evolutionary algorithms, (neural) network modeling; computational aspects of dynamic systems, optimization, optimal control, games, equilibrium modeling; hardware and software developments, modeling languages, interfaces, symbolic processing, distributed and parallel processing
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