Markets: A Rigorous Course

M01 · Problem 2 ★★ Check

An auction with ties

The previous close is ₹250. At the end of order entry the book is:

Buy Qty Sell Qty
market 200 market 100
252 300 248 400
251 800 249 300
250 500 250 500
249 600 251 600

(a) Tabulate DD, SS, VV and ∣D−S∣|D-S| at each limit price and find the equilibrium price, volume and imbalance. (b) Which orders execute, and what rests in the book when continuous trading starts? (c) Now reduce the sell at ₹251 to 500 shares. Find the equilibrium price when the previous close is ₹250, and when it is ₹251.20.

Answers

Commas, ₹, % and 1e-3 notation are accepted.

Working

Keep your working next to each problem, in markdown with maths: create a free account or sign in.

Solution

Try the problem first. Write down where you got stuck before opening it.

Create a free account

Reading is open to everyone. An account keeps your progress, answers, notes and code drafts, and gives you the study plan, the journals and the simulator. Running code needs an account approved for it.