Patent ID: 7801804

Claim:
A method for implementing a call auction by a central market organizer computer, the method comprising: a) receiving by the central market organizer computer a set of orders submitted by a set of market participants; b) calculating by the central market organizer computer from the received orders a quantity of accepted bids for each of the orders; and c) communicating by the central market organizer computer to the market participants the calculated quantity of accepted bids for each of the orders; wherein each order includes: i) a specification by a participant of contingent claims on outcomes of a future event upon which the participant is placing a bid, ii) a limit bid price indicating a maximum price the participant is willing to pay for the bid, and iii) a limit quantity indicating a maximum number of bids containing the contingent claims the participant is willing to buy at or below the limit bid price; wherein calculating by the central market organizer computer the quantity of accepted bids for each of the orders received by the central market organizer computer comprises maximizing an objective function given by an approximate profit to the market organizer plus a weighted logarithmic penalty function.