Exchange Design and Efficiency

• 成果类型: Article
• 署名作者: Rostek, Marzena; Yoon, Ji Hee
• 署名单位: University of Wisconsin System; University of Wisconsin Madison; University of London; University College London
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA16537
• 发表日期: 2021
• 页码: 2887-2928
• 关键词: market; INFORMATION; COMPETITION; frequency; auctions; welfare

摘要

Most assets clear independently rather than jointly. This paper presents a model based on the uniform-price double auction which accommodates arbitrary restrictions on market clearing, including independent clearing across assets (allowed when demand for each asset is contingent only on the price of that asset) and joint market clearing for all assets (required when demand for each asset is contingent on the prices of all assets). Additional trading protocols for traded assets-neutral when the market clears jointly-are generally not redundant innovations, even if all traders participate in all protocols. Multiple trading protocols that clear independently can be designed to be at least as efficient as joint market clearing for all assets. The change in price impact brought by independence in market clearing can overcome the loss of information, and enhance diversification and risk sharing. Except when the market is competitive, market characteristics should guide innovation in trading technology.