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Enhancing Auction Market Design Through Stochastic Bilevel Control: A Proposal for Fees and Rebates
Enhancing Auction Market Design Through Stochastic Bilevel Control: A Proposal for Fees and Rebates
상세정보
- 자료유형
- 학위논문 서양
- 최종처리일시
- 20260202103115
- ISBN
- 9798288863165
- DDC
- 510
- 저자명
- Xu, Tianrui.
- 서명/저자
- Enhancing Auction Market Design Through Stochastic Bilevel Control: A Proposal for Fees and Rebates
- 발행사항
- [Sl] : University of California, Berkeley, 2025
- 발행사항
- Ann Arbor : ProQuest Dissertations & Theses, 2025
- 형태사항
- 112 p
- 주기사항
- Source: Dissertations Abstracts International, Volume: 87-01, Section: B.
- 주기사항
- Advisor: Evans, Steven N.;Mastrolia, Thibaut.
- 학위논문주기
- Thesis (Ph.D.)--University of California, Berkeley, 2025.
- 초록/해제
- 요약The flaws inherent in a continuous limit order book mechanism raise the question of whether integrating a periodic auction market alongside a continuous market can enhance market efficiency. This study focuses on designing an effective periodic auction market. With the first model, we identify a flaw in the existing design of a periodic auction market and propose two potential solutions. Specifically, we discover that a strategic trader can exploit accumulated information available along the auction duration by arriving at the last moment before the auction closes, thereby increasing price impact on the market. Such price impact moves the clearing price away from the efficient price, reducing the efficiency of a periodic auction market. To mitigate this issue, we propose and quantify the effect of two remedies: randomizing the auction's closing time and optimally designing a transaction fee policy for both the strategic trader and other market participants. Our results, illustrated with data extracted from Alphabet and Apple stocks, show that these policies encourage a strategic trader to send their orders earlier, thus improving the efficiency of an auction market.Building on this initial model, we develop a more comprehensive model to determine the optimal fee and rebate policy for a periodic auction market. This extended model employs a continuous-time setting and incorporates competition among market participants. Under this model setup, we consider strategic traders (or market makers), who influence both the price at which the asset trades and their arrival intensities in the auction, non-strategic traders, and a stock exchange, who collects fees and offers rebates. We approach this problem as a principal-multi-agent problem, where the exchange acts as the principal, aiming to enhance both market efficiency and its own gain, while traders act as agents, aiming to maximize their individual gains. We provide necessary and sufficient conditions to characterize the Nash equilibrium among strategic traders and formulate the exchange's optimization problem as a high-dimensional Hamilton-Jacobi-Bellman equation with jump processes, which is solved using a verification result. To illustrate the optimal transaction fee and rebate policy, we apply the Deep BSDE method. Our results show that the optimal transaction fee and rebate policy improves market efficiency by narrowing the spread between the auction clearing price and the asset's fundamental value and enhances the exchange's gain, while ensuring a minimal gain for strategic traders indexed to the asset price in a coexisting limit order book.
- 일반주제명
- Mathematics
- 일반주제명
- Applied mathematics
- 기타저자
- University of California, Berkeley Mathematics
- 기본자료저록
- Dissertations Abstracts International. 87-01B.
- 전자적 위치 및 접속
- 로그인 후 원문을 볼 수 있습니다.
MARC
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■00520260202103115
■006m o d
■007cr#unu||||||||
■020 ▼a9798288863165
■035 ▼a(MiAaPQ)AAI31936863
■040 ▼aMiAaPQ▼cMiAaPQ
■0820 ▼a510
■1001 ▼aXu, Tianrui.
■24510▼aEnhancing Auction Market Design Through Stochastic Bilevel Control: A Proposal for Fees and Rebates
■260 ▼a[Sl]▼bUniversity of California, Berkeley▼c2025
■260 1▼aAnn Arbor▼bProQuest Dissertations & Theses▼c2025
■300 ▼a112 p
■500 ▼aSource: Dissertations Abstracts International, Volume: 87-01, Section: B.
■500 ▼aAdvisor: Evans, Steven N.;Mastrolia, Thibaut.
■5021 ▼aThesis (Ph.D.)--University of California, Berkeley, 2025.
■520 ▼aThe flaws inherent in a continuous limit order book mechanism raise the question of whether integrating a periodic auction market alongside a continuous market can enhance market efficiency. This study focuses on designing an effective periodic auction market. With the first model, we identify a flaw in the existing design of a periodic auction market and propose two potential solutions. Specifically, we discover that a strategic trader can exploit accumulated information available along the auction duration by arriving at the last moment before the auction closes, thereby increasing price impact on the market. Such price impact moves the clearing price away from the efficient price, reducing the efficiency of a periodic auction market. To mitigate this issue, we propose and quantify the effect of two remedies: randomizing the auction's closing time and optimally designing a transaction fee policy for both the strategic trader and other market participants. Our results, illustrated with data extracted from Alphabet and Apple stocks, show that these policies encourage a strategic trader to send their orders earlier, thus improving the efficiency of an auction market.Building on this initial model, we develop a more comprehensive model to determine the optimal fee and rebate policy for a periodic auction market. This extended model employs a continuous-time setting and incorporates competition among market participants. Under this model setup, we consider strategic traders (or market makers), who influence both the price at which the asset trades and their arrival intensities in the auction, non-strategic traders, and a stock exchange, who collects fees and offers rebates. We approach this problem as a principal-multi-agent problem, where the exchange acts as the principal, aiming to enhance both market efficiency and its own gain, while traders act as agents, aiming to maximize their individual gains. We provide necessary and sufficient conditions to characterize the Nash equilibrium among strategic traders and formulate the exchange's optimization problem as a high-dimensional Hamilton-Jacobi-Bellman equation with jump processes, which is solved using a verification result. To illustrate the optimal transaction fee and rebate policy, we apply the Deep BSDE method. Our results show that the optimal transaction fee and rebate policy improves market efficiency by narrowing the spread between the auction clearing price and the asset's fundamental value and enhances the exchange's gain, while ensuring a minimal gain for strategic traders indexed to the asset price in a coexisting limit order book.
■590 ▼aSchool code: 0028.
■650 4▼aMathematics
■650 4▼aApplied mathematics
■653 ▼aAuction market design
■653 ▼aStochastic control
■653 ▼aMarket efficiency
■690 ▼a0405
■690 ▼a0364
■690 ▼a0796
■71020▼aUniversity of California, Berkeley▼bMathematics.
■7730 ▼tDissertations Abstracts International▼g87-01B.
■790 ▼a0028
■791 ▼aPh.D.
■792 ▼a2025
■793 ▼aEnglish
■85640▼uhttp://www.riss.kr/pdu/ddodLink.do?id=T17357004▼nKERIS▼z이 자료의 원문은 한국교육학술정보원에서 제공합니다.
