Models for Bundle Trading in Financial Markets

Bundle trading is a new trend in financial markets that allows traders to submit consolidated orders to sell and buy packages of assets. We propose a new formulation for portfolio bundle trading that extends the previous models of the literature through a more detailed representation of portfolios and the formulation of new bidding requirements. We also present post-optimality tie-breaking procedures intended to discriminate equivalent orders on the basis of their submission times. Numerical results evaluate the "bundle" effect as well as the bidding flexibility and the computational complexity of our formulation. Une nouvelle tendance dans les marchés financiers consiste à transiger des valeurs financières sous forme d'ordres composites d'achat et de vente. Nous proposons une nouvelle formulation basée sur les ordres composites du problème d'allocation de valeurs financières. Notre modèle, comparativement à ceux de la littérature, permet une représentation plus détaillée des portefeuilles financiers et la formulation de nouvelles contraintes transactionnelles. Nous présentons en outre une procédure de discrimination d'ordres équivalents sur la base de leur temps de soumission. Les résultats numériques de notre étude permettent d'évaluer empiriquement l'effet « ordres composites », ainsi que la flexibilité et la complexité numérique de notre formulation.Auction Design, Financial Markets, Bundle Trading, Discrimination Procedures, Mécanisme d'enchères, marchés financiers, ordres composites, procédures de discrimination

Decentralized Prediction Markets and Sports Books

Prediction markets allow traders to bet on potential future outcomes. These markets exist for weather, political, sports, and economic forecasting. Within this work we consider a decentralized framework for prediction markets using automated market makers (AMMs). Specifically, we construct a liquidity-based AMM structure for prediction markets that, under reasonable axioms on the underlying utility function, satisfy meaningful financial properties on the cost of betting and the resulting pricing oracle. Importantly, we study how liquidity can be pooled or withdrawn from the AMM and the resulting implications to the market behavior. In considering this decentralized framework, we additionally propose financially meaningful fees that can be collected for trading to compensate the liquidity providers for their vital market function