Principal Trading Arrangements: When Are Common Contracts Optimal?
Principal Trading Arrangements: When Are Common Contracts Optimal?
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主要交易安排：普通合约何时最佳？
DOI：
10.2139/ssrn.3177283
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发表时间：
2021
期刊：
影响因子：
2.9
通讯作者：
Joshua Mollner
中科院分区：
文献类型：
--
作者：
Markus Baldauf;C. Frei;Joshua Mollner
许多金融安排参照的市场价格在订立合同时尚未实现，因此容易受到操纵。其中两种最常见的安排如下：㈠保证成交量加权平均价格合同，参照执行窗口期间的成交量加权平均价格; ㈡收市价合同，参照窗口结束时的价格。为了研究这种情况，我们引入了一个程式化的模型之间的客户，谁希望交易一个大的位置，客户的经销商的金融合同。我们提供的条件下，保证VWAP合同是最优的委托代理问题。相比之下，收盘价合约通常不可能是最优的。这些结果解释了在实践中使用的保证VWAP合同，质疑使用的市场上关闭的合同，并建议考虑金融基准的设计。本文被金融学专业朱浩翔接受。
Many financial arrangements reference market prices that are yet to be realized at the time of contracting and consequently susceptible to manipulation. Two of the most common such arrangements are as follows: (i) guaranteed volume-weighted average price (VWAP) contracts, which reference the VWAP prevailing over an execution window, and (ii) market-on-close contracts, which reference the price prevailing at the window’s end. To study such situations, we introduce a stylized model of financial contracting between a client, who wishes to trade a large position, and the client’s dealer. We provide conditions under which guaranteed VWAP contracts are optimal in this principal-agent problem. In contrast, market-on-close contracts generally cannot be optimal. These results explain the use of guaranteed VWAP contracts in practice, question the use of market-on-close contracts, and suggest considerations for the design of financial benchmarks. This paper was accepted by Haoxiang Zhu, finance.