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...

The hypothesis of “market microstructure invariance” — based on the intuition that the size and costs of transferring risk in “business time” is constant across assets and time — is tested using a database of 400,000 portfolio transition trades. Defining trading activity W as the...

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...

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...

Value-at-risk (VaR) is an important risk measure now widely used by financial institutions and regulators to quantify market risk and compute regulatory capital charge. The performance of VaR model can be examined by back-testing. Based on back-testing information, this paper develops a Machine...