ICEF/FES Joint Research Seminar by Marzena Rostek (University of Wisconsin-Madison)

On Thursday, November 21 ICEF and FES held the Research Seminar.

Speaker: Marzena Rostek (University of Wisconsin-Madison)
Theme: "Exchange Design and Efficiency"

Abstract: 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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ICEF seminars