2 papers
q-fin.TR2026
Optimal Rebate Design: Incentives, Competition and Efficiency in Auction Markets
Thibaut Mastrolia, Tianrui Xu
This study explores the design of an efficient rebate policy in auction markets, focusing on a continuous-time setting with competition among market participants. In this model, a…
q-fin.TR2024
Clearing time randomization and transaction fees for auction market design
Thibaut Mastrolia, Tianrui Xu
Flaws of a continuous limit order book mechanism raise the question of whether a continuous trading session and a periodic auction session would bring better efficiency. This paper…