相关论文: The Design and Regulation of Exchanges: A Formal A…
This study explores the design of an efficient rebate policy in auction markets, focusing on a continuous-time setting with competition among market participants. In this model, a stock exchange collects transaction fees from auction…
This paper investigates arbitrage chains involving four currencies and four foreign exchange trader-arbitrageurs. In contrast with the three-currency case, we find that arbitrage operations when four currencies are present may appear…
This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market microstructure. It allows multiple automated traders and/or researchers to simultaneously connect to an…
We introduce a simple benchmark model of dynamic matching in networked markets, where agents arrive and depart stochastically and the network of acceptable transactions among agents forms a random graph. We analyze our model from three…
We first investigate the evolution of opening and closing auctions volumes of US equities along the years. We then report dynamical properties of pre-auction periods: the indicative match price is strongly mean-reverting because the…
We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…
Using an AI assistant, we developed a method for systematically constructing controlled natural language for requirements based on formal specification patterns containing logical attributes. The method involves three stages: 1) compiling a…
We consider a market where a set of objects is sold to a set of buyers, each equipped with a valuation function for the objects. The goal of the auctioneer is to determine reasonable prices together with a stable allocation. One definition…
We design a framework for truthful double multi-channel spectrum auctions where each seller (or buyer) can sell (or buy) multiple spectrum channels based on their individual needs. Open, market-based spectrum trading motivates existing…
Loyal buyer-seller relationships can arise by design, e.g. when a seller tailors a product to a specific market niche to accomplish the best possible returns, and buyers respond to the dedicated efforts the seller makes to meet their needs.…
Equilibria in auctions can be very difficult to analyze, beyond the symmetric environments where revenue equivalence renders the analysis straightforward. This paper takes a robust approach to evaluating the equilibria of auctions. Rather…
We introduce systematic tests exploiting robust statistical and behavioral patterns in trading to detect fake transactions on 29 cryptocurrency exchanges. Regulated exchanges feature patterns consistently observed in financial markets and…
How do we assign value to economic transactions? To answer this question, we must consider whether the value of objects is inherent, is a product of social interaction, or involves other mechanisms. Economic theory predicts that there is an…
Use of formal techniques for verifying the security features of electronic commerce protocols would facilitate, the enhancement of reliability of such protocols, thereby increasing their usability. This paper projects the application of…
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…
American options are studied in a general discrete market in the presence of proportional transaction costs, modelled as bid-ask spreads. Pricing algorithms and constructions of hedging strategies, stopping times and martingale…
Auctions are key for maximizing sellers' revenue and ensuring truthful bidding among buyers. Recently, an approach known as differentiable economics based on machine learning (ML) has shown promise in learning powerful auction mechanisms…
We revisit the problem of designing optimal, individually rational matching mechanisms (in a general sense, allowing for cycles in directed graphs), where each player --- who is associated with a subset of vertices --- matches as many of…
A prevalent assumption in auction theory is that the auctioneer has full control over the market and that the allocation she dictates is final. In practice, however, agents might be able to resell acquired items in an aftermarket. A…
Verifying whether a procedure is observationally pure is useful in many software engineering scenarios. An observationally pure procedure always returns the same value for the same argument, and thus mimics a mathematical function. The…