Optimal make–take fees for market making regulation
Optimal make–take fees for market making regulation
复制标题
做市监管的最佳制作费用
作者：
Omar El Euch;Thibaut Mastrolia;M. Rosenbaum;N. Touzi
我们解决了交易所设置适当的收取费用以吸引其平台上的流动性的机制设计问题。使用委托代理方法，我们以准显式形式提供做市商的最优补偿方案。该合约本质上取决于做市商库存轨迹和资产的波动性。我们还提供做市商应显示的最佳报价。公式的简单性使我们能够详细分析与交易所签订最优合约与没有合约的情况相比的效果。我们特别表明它可以提高流动性并降低投资者的交易成本。我们将研究扩展到对称交换的寡头垄断，并研究这种共同代理政策对系统的影响。
We address the mechanism design problem of an exchange setting suitable make– take fees to attract liquidity on its platform. Using a principal–agent approach, we provide the optimal compensation scheme of a market maker in quasi‐explicit form. This contract depends essentially on the market maker inventory trajectory and on the volatility of the asset. We also provide the optimal quotes that should be displayed by the market maker. The simplicity of our formulas allows us to analyze in details the effects of optimal contracting with an exchange, compared to a situation without contract. We show in particular that it improves liquidity and reduces trading costs for investors. We extend our study to an oligopoly of symmetric exchanges and we study the impact of such common agency policy on the system.