Welfare Effects of Market Making in Continuous Double Auctions
Welfare Effects of Market Making in Continuous Double Auctions
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连续双重拍卖做市的福利效应
DOI：
10.1613/jair.5360
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发表时间：
2015
期刊：
影响因子：
--
通讯作者：
Michael P. Wellman
中科院分区：
文献类型：
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作者：
Elaine Wah;Michael P. Wellman
我们研究做市对市场绩效的影响，重点是配置效率以及背景交易者从交易中获得的收益。我们采用实证模拟为基础的方法来评估启发式策略做市商以及背景投资者在各种复杂的交易环境。我们的市场模型结合了私人和共同的估值元素，具有动态的基本价值和不对称的信息。在这种情况下，我们比较了背景交易者在策略均衡中，有和没有做市商的盈余。我们的研究结果表明，做市商的存在强烈倾向于增加不仅在各种环境中的总盈余，但也背景交易者盈余在薄的市场与不耐烦的投资者，与紧迫感捕获有限的交易视野。跨环境的比较揭示了影响做市商功能所提供的利益的存在和大小的因素。
We investigate the effects of market making on market performance, focusing on allocative efficiency as well as gains from trade accrued by background traders. We employ empirical simulation-based methods to evaluate heuristic strategies for market makers as well as background investors in a variety of complex trading environments. Our market model incorporates private and common valuation elements, with dynamic fundamental value and asymmetric information. In this context, we compare the surplus achieved by background traders in strategic equilibrium, with and without a market maker. Our findings indicate that the presence of the market maker strongly tends to increase not only total surplus across a variety of environments, but also background-trader surplus in thin markets with impatient investors, with urgency captured by a limited trading horizon. Comparison across environments reveals factors that influence the existence and magnitude of benefits provided by the market maker function.