Optimal transaction fees indexed on time to improve price impact for the trader

Table of Links

Introduction

1.1 Periodic auction and continuous limit order book

1.2 Comparison and main flaws of limit order book

1.3 Optimal policies to cure auction’s inefficiencies and related works
Auctions market modeling with transaction fees and randomization

2.1 The market characteristics

2.2 Clearing Price rule

2.3 Strategic Trader’s optimization and market quality

2.4 Data and numerical analysis

2.5 Strategic trader with full information: efficient but unfair market

2.6 Imperfect information and inefficiency of auctions
Monitoring policies: transaction fees and clearing time randomization

3.1 Bilevel optimization between the exchange and the strategic trader

3.2 Randomization without fees

3.3 Optimal transaction fees indexed on time to improve price impact for the trader

3.4 Optimal transaction fees indexed on time: improving market quality while benefiting from the fees
Conclusions

A. Appendix: Numerical Methods

A.1 Problem of a Strategic Seller

Authors:

(1) Thibaut Mastrolia, UC Berkeley, Department of Industrial Engineering and Operations Research ([email protected]);

(2) Tianrui Xu, UC Berkeley, Department of Mathematics ([email protected]).

This paper is available on arxiv under CC BY 4.0 DEED license.

[9] Alphabet’s graphs carry the same spirit as Apple’s graphs. For the sake of simplicity, we only analyze the data from Apple in this part.