Marzena Rostek will present the paper "Exchange Design and Efficiency".
Abstract.
In many markets, traders’ demands for an asset are contingent on the price of that asset alone rather than on the price of all assets they trade. We present a model based on the uniform-price double auction which accommodates arbitrary restrictions on cross-asset conditioning, including asset-by-asset market clearing (demand for each asset is conditioned on the price of that asset) and a single market clearing (demand for each asset is conditioned on the prices of all assets). If suitably designed, markets with limited demand conditioning are at least as efficient as a single market clearing for all traders and assets.