Work

AHEAD: Ad Hoc Electronic Auction Design

Year: 2020

Type: article

Abstract: 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.

Source: Frontiers of Mathematical Finance

DOI: 10.3934/fmf.2024004

Authors: Joffrey Derchu, Philippe Guillot, Thibaut Mastrolia, Mathieu Rosenbaum

Institutions: Centre National de la Recherche Scientifique, École Polytechnique, Centre de Mathématiques Appliquées de l'École polytechnique, Autorité des marchés financiers, University of California, Berkeley

Language: English

Topic: Auction Theory and Applications

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: hybrid

Funders: Agence Nationale de la Recherche, H2020 European Research Council

Awards: Statistical modelling across price and time scales: a quantitative approach to modern financial regulation, Reinforcement learning for impulse stochastic control problems