Table of Links Abstract Abstract Abstract 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 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 Introduction Introduction 1.1 Periodic auction and continuous limit order book 1.1 Periodic auction and continuous limit order book 1.2 Comparison and main flaws of 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 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 Auctions market modeling with transaction fees and randomization Auctions market modeling with transaction fees and randomization 2.1 The market characteristics 2.1 The market characteristics 2.2 Clearing Price rule 2.2 Clearing Price rule 2.3 Strategic Trader’s optimization and market quality 2.3 Strategic Trader’s optimization and market quality 2.4 Data and numerical analysis 2.4 Data and numerical analysis 2.5 Strategic trader with full information: efficient but unfair market 2.5 Strategic trader with full information: efficient but unfair market 2.6 Imperfect information and inefficiency of auctions 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 Monitoring policies: transaction fees and clearing time randomization Monitoring policies: transaction fees and clearing time randomization 3.1 Bilevel optimization between the exchange and the strategic trader 3.1 Bilevel optimization between the exchange and the strategic trader 3.2 Randomization without fees 3.2 Randomization without fees 3.3 Optimal transaction fees indexed on time to improve price impact for the trader 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 3.4 Optimal transaction fees indexed on time: improving market quality while benefiting from the fees Conclusions Conclusions Conclusions Conclusions A. Appendix: Numerical Methods A. Appendix: Numerical Methods A.1 Problem of a Strategic Seller A.1 Problem of a Strategic Seller A.2 Appendix: Problem of the Regulator A.2 Appendix: Problem of the Regulator B Appendix: Illustrate Remark 2.4 B Appendix: Illustrate Remark 2.4 References References A.1 Problem of a Strategic Seller A.2 Appendix: Problem of the Regulator By Disintegration Theorem [Kallenberg (2002)], B Appendix: Illustrate Remark 2.4 To better illustrate the proof, we draw a figure 5 of For each point on the line, the x coordinate would be and the y coordinate would be where p is the price sent by the strategic seller. The shadow area is the trader’s gain. References [Abdi and Ranaldo (2017)] Abdi, F., and Ranaldo, A. (2017). A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices. The Review of Financial Studies, 30(12), 4437–4480. [Alfonsi and Blanc (2016)] Alfonsi, A., and Blanc, P. (2016). Dynamic optimal execution in a mixedmarket-impact Hawkes price model. 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(1) Thibaut Mastrolia, UC Berkeley, Department of Industrial Engineering and Operations Research (thibaut.mastrolia@berkeley.edu);
(2) Tianrui Xu, UC Berkeley, Department of Mathematics (tianrui.xu@berkeley.edu). Authors: Authors: (1) Thibaut Mastrolia, UC Berkeley, Department of Industrial Engineering and Operations Research (thibaut.mastrolia@berkeley.edu); (2) Tianrui Xu, UC Berkeley, Department of Mathematics (tianrui.xu@berkeley.edu). This paper is available on arxiv under CC BY 4.0 DEED license. This paper is available on arxiv under CC BY 4.0 DEED license. available on arxiv available on arxiv

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