In today’s markets, thousands of financial assets are traded in a variety of coexisting trading venues. Although standard equilibrium and asset pricing models of financial markets assume that a trader’s demand for each asset is contingent on the prices of all traded assets, this is rarely the case in practice. The paper presented in this Research Seminar examines the design of multi-asset trading algorithms. The authors compare the equilibrium and welfare effects of innovation of new synthetic products with new market-clearing technology — independent vs. joint clearing of the corresponding underlying assets. Neither instrument can reproduce the other’s welfare effects; either one may dominate in welfare terms. When traders have price impact, innovation in market clearing makes additional synthetic products nonredundant.

Speaker

Marzena Rostek

University of Wisconsin-Madison, USA

If you would like to participate and to stay up to date about upcoming presentations, please join our mailing list. You will receive the Zoom link for each talk.

The seminar presentations are scheduled to last 60 minutes: 45 minutes of presentation and 15 minutes for both comments and questions.

We will experiment with various methods for questions: A moderator collects questions during the presentation. Speakers will be encouraged to pause every few slides to allow a gap for questions. The moderator will relay clarification questions or unmute selectively during the talk. Remaining questions will be collected and asked in the discussion period.

Just like with other initiated virtual seminars, these rules are subject to change as we gain experience with how to handle the seminar most efficiently.

The idea for this format was borrowed from the Chamberlain Seminar. Other online seminars can be found at the AEA website.

The Virtual Market Design Seminar is an open online alternative to seminars cancelled due to the COVID-19. Seminars will cover all fields from market design. The seminar presentations are scheduled to last 60 minutes, after 45 minutes of presentation, 15 minutes are for both comments and question.

Date

21.06.2021 | 16:00 - 17:00 (CET)

Event Location

Online


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