AHEAD : Ad-Hoc Electronic Auction Design
We introduce a new matching design for financial transactions in an electronic market. In this mechanism, called ad-hoc electronic auction design (AHEAD), market participants can trade between themselves at a fixed price and trigger an auction when they are no longer satisfied with this fixed price. In this context, we prove that a Nash equilibrium is obtained between market participants. Furthermore, we are able to assess quantitatively the relevance of ad-hoc auctions and to compare them with periodic auctions and continuous limit order books. We show that from the investors' viewpoint, the microstructure of the asset is usually significantly improved when using AHEAD.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
Centralization in Attester-Proposer Separation
We show that Execution Tickets and Execution Auctions dramatically increase centralization in the market for block proposals, even without multi-block MEV concerns. Previous analyses have insufficiently or incorrectly mo…
Package Bids in Combinatorial Electricity Auctions: Selection, Welfare Losses, and Alternatives
A key challenge in combinatorial auctions is designing bid formats that accurately capture agents' preferences while remaining computationally feasible. This is especially true for electricity auctions, where complex pre…
Efficient representation of supply and demand curves on day-ahead electricity markets
Our paper aims to model supply and demand curves of electricity day-ahead auction in a parsimonious way. Our main task is to build an appropriate algorithm to present the information about electricity prices and demands …
Learning Theory and Algorithms for Revenue Optimization in Second-Price Auctions with Reserve
Second-price auctions with reserve play a critical role for modern search engine and popular online sites since the revenue of these companies often directly de- pends on the outcome of such auctions. The choice of the r…
Learning TheoryRecurrent Neural Network from Adder's Perspective: Carry-lookahead RNN
The recurrent network architecture is a widely used model in sequence modeling, but its serial dependency hinders the computation parallelization, which makes the operation inefficient. The same problem was encountered i…