Robust benchmark design

• 成果类型: Article
• 署名作者: Duffie, Darrell; Dworczak, Piotr
• 署名单位: Stanford University; National Bureau of Economic Research; Northwestern University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.06.024
• 发表日期: 2021
• 页码: 775-802
• 关键词: Financial benchmarks; manipulation; collusion; Mechanism design without transfers; Volume-weighted average price

摘要

A B S T R A C T We model the design of a benchmark fixing as an estimator of fair market value. The fixing data are the transactions of agents whose profits depend on the fixing, implying incentives for manipulation. We derive the optimal linear fixing under an assumption that transaction weights are unidimensional. We also axiomatically characterize the unique linear fixing that is robust to a certain form of collusion among traders. Our analysis provides a foundation for the commonly used volume-weighted average price (VWAP) and its analogue based on unidimensional weights. We characterize the relative advantages of these fixing designs, depending on market characteristics. (c) 2021 Elsevier B.V. All rights reserved.