Application of Cross Efficiency in Stock Exchange

This paper firstly revisits the cross efficiency evaluation method which is an extension tool of data (envelopment analysis. In this paper, we consider the DMUs as the players (institutions) in a cooperative game, where the characteristic function values of institutions are defined to compute the Shapley value of each DMU (institution), and the common weights associate with the imputation of the Shapley values are used to determine the ultimate cross efficiency scores for institution of Stock Exchange of Tehran. This paper introduces the models for computing benefit for each institution. Using shapely value we obtain the effect of each institution, and through determining common weight for each company we find out the ultimate weight which shows how much the existence or not existence of that institution affects the interesting competence.