Thibaut Mastrolia (Berkeley): Recent advances in auction markets design and regulation policies

Thibaut Mastrolia: Recent advances in auction markets design and regulation policies

Abstract: In this talk, we will model sequential auctions in financial markets and study the efficiency of this kind of market mechanisms compared with limit order books. In this type of market orders of market participants are received during a period of time. At the end of this duration, a clearing price of the auction is determined as the price maximizing the exchanged volume at the clearing time according to the supply and demand of each market participant. We will first focus on the optimal duration of an auction to reduce the error between the clearing price and the efficient price of the stock considered and compute the optimal duration of the auctions for some stocks traded on Euronext. We then extend the study to a new market mechanism "ad hoc electronic auction design" (AHEAD) in which market participants have the opportunity to trigger the auction instead of waiting for the opening of the auction. We will finally study some possible flaws of auction markets and the remedies in terms of regulation policy we can adopt.

Bio: Thibaut Mastrolia is an Assistant Professor in the Department of Industrial Engineering & Operations Research at UC Berkeley. His research interests lie at the intersection of stochastic control, game theory, finance and optimization. He is interested in developing new stochastic models and tools to solve optimization problems related to financial regulation, natural resource management and population dynamics.