论文标题
前面：临时电子拍卖设计
AHEAD : Ad-Hoc Electronic Auction Design
论文作者
论文摘要
我们为电子市场中的金融交易引入了新的匹配设计。在这种称为临时电子拍卖设计（前方）的机制中，市场参与者可以以固定价格进行交易，并在不再对此固定价格感到满意时触发拍卖。在这种情况下，我们证明了市场参与者之间的NASH平衡。此外，我们能够定量评估临时拍卖的相关性，并将其与周期性拍卖和持续限制顺序书籍进行比较。我们表明，从投资者的角度来看，资产的微观结构通常在使用前方时会显着改善。
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.
