Summary of key results · M01 Market structure

Result	Formula
Call auction schedules	$D(p) = \sum_{b_j \ge p} q_j$ , $S(p) = \sum_{a_k \le p} r_k$ , $V(p) = \min(D,S)$ (1.1)–(1.2)
Proposition 1.1	$\arg\max V \in \{p^-, p^\}$ , $p^ = \min\{p: S(p) \ge D(p)\}$ ; tie-breaks: min $\lvert D-S\rvert$ , then closest to previous close
Cost of a round trip	$C = K + \alpha B + \beta S$ , $K = 2F(1+g)$ , $\alpha = \sigma_b + \delta + (e+\phi)(1+g)$ , $\beta = \sigma_s + (e+\phi)(1+g)$ (1.3)
Proposition 1.2	$\Delta^*/P = (\alpha+\beta)/(1-\beta) + K/((1-\beta)PQ)$ ; add the spread $s$ for the mid (1.4)
Intraday NSE round trip, ₹1 lakh	₹82.68 = 8.27 bp (rates of 6 Nov 2026)
Delivery round trip, ₹1 lakh	₹237.82 including DP = 23.8 bp
Nifty futures, 1 lot at 25,000	₹966 = 5.95 bp = 14.9 points
Tax	STCG 20%; LTCG 12.5% above ₹1.25 lakh; intraday speculative (4-year carry-forward, speculative-only set-off); F&O non-speculative (8 years)
Index	$I = \sum P_i N_i f_i / D$ (1.5)–(1.6); return $=\sum w_i R_i$ (1.7); $D' = D M'/M$ (1.8)
Total return index	$\text{TRI}_t = \text{TRI}_{t-1}(I_t + \text{ID}_t)/I_{t-1}$ (1.9)
Ex-prices	split $P_c/k$ ; bonus $P_c b/(a+b)$ ; dividend $P_c - d$ ; TERP $(NP_c + nX)/(N+n)$ (1.10)
Adjusted series	multiply pre-ex prices by $F = P_x/P_c$ ; dividend factor $1 - d/P_c$ (1.12) gives the return with reinvestment at $P_c - d$ (1.11)