Trading mechanisms for financial exchanges
Abstract/Contents
- Abstract
- The first part of this thesis discusses the structure of the US equities market and the regulatory challenges involved, with respect both to particular venues and order types, and to the market as a whole. This part addresses the role of public equities markets, their objectives, and the market-design concepts relevant to evaluating them, it describes the market structure before and after the significant regulatory reforms of 2005, goes on to detail some specific market-design challenges and current proposals from the SEC, and concludes with an analysis and evaluation of several trading mechanisms and three order types, from a mechanism-design perspective. The second part of the thesis presents a theoretical model of an exchange and analyzes optimal order submission in a one-shot game in which a buyer and seller, each of whom can have two (privately known) types, can trade up to two units of an asset through an order book, which is empty at the beginning of the game. In both a setting with private values and interdependent values, equilibria in four games are characterized: a basic game with limit and market orders, and games involving one of the three order types from the first part of the thesis- iceberg, discretionary, and volume orders. The effect of the introduction of the different order types is analyzed with respect to volume and transparency. Each setting also includes an analysis of the buyer-optimal mechanism and its relation to equilibria of the games involving orders.
Description
| Type of resource | text |
|---|---|
| Form | electronic; electronic resource; remote |
| Extent | 1 online resource. |
| Publication date | 2010 |
| Issuance | monographic |
| Language | English |
Creators/Contributors
| Associated with | Macri-Lassus, Patricia |
|---|---|
| Associated with | Stanford University, Department of Economics |
| Primary advisor | Levin, Jonathan D. (Jonathan David), 1972- |
| Thesis advisor | Levin, Jonathan D. (Jonathan David), 1972- |
| Thesis advisor | Niederle, Muriel |
| Thesis advisor | Tertilt, Michèle |
| Advisor | Niederle, Muriel |
| Advisor | Tertilt, Michèle |
Subjects
| Genre | Theses |
|---|
Bibliographic information
| Statement of responsibility | Patricia Lassus. |
|---|---|
| Note | Submitted to the Department of Economics. |
| Thesis | Thesis (Ph. D.)--Stanford University, 2010. |
| Location | electronic resource |
Access conditions
- Copyright
- © 2010 by Patricia Macri-Lassus
- License
- This work is licensed under a Creative Commons Attribution Non Commercial 3.0 Unported license (CC BY-NC).
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