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Cambridge Endowment for Research in Finance (CERF)

 

Aytek Erdil (Faculty of Economics)

Building a robust combinatorial exchange for portfolio trading: a market design approach

Abstract 

Traditionally each financial instrument is traded in a market of its own. For most traders, however, their desired position for one good is intimately related to their positions on many other goods. A combinatorial exchange integrates markets for various goods by allowing agents to express their portfolio preferences including contingencies and synergies between goods. Building on insights from market design, I aim to develop guidance on how to design matching and pricing rules which make it safe for participants to act on true preferences, match traders efficiently, avoid congestion, and attract liquidity; hence satisfying key properties of a successful marketplace. 


Project Update - August 2021

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Project Update - August 2020