Question: Consider sending the same set of orders to a continuous two-sided auction. Apply price-time priority and the discriminatory pricing rule and list the first 3

Consider sending the same set of orders to a continuous two-sided auction. Apply price-time priority and the discriminatory pricing rule and list the first 3 trades. Compute the trading surplus for these 3 trades. Compare and contrast single-price auctions and continuous two-sided auctions.

1. DEF Consider the following set of orders for the VOD stock: Time Trader Order Side Size Price 10:00 ABC Sell 4 20 10:05 Buy 3 21 10:08 GHI Buy 5 20 10:09 JKL Sell 5 22 10:10 MNO Buy 7 18 10:15 POR Sell 7 Market 10:18 Sell 5 19 10:20 WWX Buy 6 Market 10:30 YZ Sell 21 A ovo STU 4 Assume that the above orders are sent to a single-price call auction

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