Systems and methods for determining a price

Abstract

Systems and methods for providing trading using an eVWAP price in an illiquid market are provided. In an illiquid market there may be little or no actual trades. During a trading period, the eVWAP price is therefore determined from not only trades, but also unmatched bids and offers. The eVWAP price is determined when new information becomes available or at a specified time interval. The final eVWAP price is determined when the sampling period ends. Once the final eVWAP price is determined, the value of the final eVWAP price is published for use as a price to settle a contract.

What is claimed is: 
     
         1 . A method for providing trading of an item using an enhanced volume-weighted average price, the method comprising:
 using one or more programmed computers to determine a starting value for the enhanced volume-weighted average price for a sampling period;   using one or more programmed computers to determine the enhanced volume-weighted average price when new information becomes available, wherein the new information relates to at least one of a new unmatched bid, a new unmatched offer, and a new trade;   using one or more programmed computers to determine a final enhanced volume-weighted average price when the sampling period ends; and   using one or more programmed computers to publish the final enhanced volume-weighted average price for use as a price to settle a contract.