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Faculté et Recherche

Exchange Design and Efficiency - Marzena J Rostek

14 nov
2019
14H00
Jouy-en-Josas
Anglais

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2019-11-14T14:00:00 2019-11-14T15:15:00 Exchange Design and Efficiency - Marzena J Rostek Finance Speaker : Marzena J Rostek Buil. T - Room T104 Jouy-en-Josas

Finance

Speaker : Marzena J Rostek

Buil. T - Room T104

In many markets, traders’ demands for an asset are contingent on the price of that asset alone rather than on the price of all assets they trade. We present a model based on the uniform-price double auction which accommodates arbitrary restrictions on cross-asset conditioning, including asset-by-asset market clearing (demand for each asset is conditioned on the price of that asset) and a single market clearing (demand for each asset is conditioned on the prices of all assets). If suitably designed, markets with limited demand conditioning are at least as efficient as a single market clearing for all traders and assets.

 

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2019-11-14T14:00:00 2019-11-14T15:15:00 Exchange Design and Efficiency - Marzena J Rostek Finance Speaker : Marzena J Rostek Buil. T - Room T104 Jouy-en-Josas