We propose a new market design for trading financial assets. The design has three elements: (1) traders may place orders for any user-defined linear combination of assets,with arbitrary positive and negativeweights; (2) orders are downwardsloping piecewise-linear demand curves with quantities...

Economists have long been puzzled by event-ticket underpricing: underpricing both reduces revenue and encourages socially wasteful rent-seeking by ticket brokers. This paper studies the introduction of auctions into this market by Ticketmaster. We first show theoretically that Ticketmaster's...

The high-frequency trading arms race is a symptom of flawed market design. Instead of the continuous limit order book (CLOB) that is currently predominant, we argue that financial exchanges should use frequent batch auctions: uniform price double auctions conducted, e.g., every tenth of a...

We propose a new market design for trading financial assets. The design combines three elements: (1) Orders are downward-sloping linear demand curves with quantities expressed as flows; (2) Markets clear in discrete time using uniform-price batch auctions; (3) Traders may submit orders for...

Economists have long been puzzled by event-ticket underpricing: underpricing reduces revenue for the artist, and encourages socially wasteful rent-seeking by ticket brokers. Why not use an auction to set price correctly? This paper studies the introduction of auctions into this market by...

We introduce and analyze a new market design for trading financial assets. The design allows traders to directly trade any user-defined linear combination of assets. Orders for such portfolios are expressed as downward-sloping piecewise-linear demand curves with quantities as flows...