Hierarchical constraint satisfaction of multilateral trade matching in commodity auction markets

Abstract

A commodity auction market provides a trading intermediary whose role is to find optimal trade matching between buyers and sellers that satisfies their trading constraints. Some commodity auction markets utilize forms of electronic trading intermediary systems in order to improve the efficiency and effectiveness of trading of huge volumes of transactions during short periods of time. Previous research works on electronic trading intermediary systems focus on the maximization of the trade volume obtained by satisfying mainly price and quantity constraints. The principal restriction of these approaches is that the heterogeneity of the commodity is ignored or at least not significantly considered. The objective of the study in this paper is to propose a computable mechanism of trading inter-mediaries for commodity auction markets, supporting not only ordinary trading constraints of prices and quantities but also other qualitative and quantitative constraints on the commodity properties and trading conditions.