指数设计:对冲和操纵

IF 0.9 Q3 BUSINESS, FINANCE

Quarterly Journal of Finance Pub Date : 2022-05-27 DOI:10.1142/s2010139222500057

Robert Jarrow, Siguang Li

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引用次数: 0

摘要

本文研究了在竞争均衡范式下的最优指数设计，以促进对冲和减轻非法操纵，并对其进行了修改以应对操纵。具体来说，大型交易商同时交易衍生品和资产，从而有效地将其交易隐藏在竞争激烈的市场清算机制之后。与策略博弈模式不同，交易量加权平均定价(VWAP)指数引入了基差风险，并鼓励操纵，因为交易量权重的额外随机性和大型交易者享有的更大价格影响。相比之下，等加权平均定价(EWAP)指数保持了市场的完整性，并阻止了操纵。

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Index Design: Hedging and Manipulation

This paper studies optimal index design to facilitate both hedging and alleviate illegal manipulation in a competitive equilibrium paradigm, modified to deal with manipulation. Specifically, a large trader is trading both derivatives and assets that effectively hides her trades behind the competitive market clearing mechanism. Unlike the strategic game paradigm, a volume-weighted average pricing (VWAP) index introduces basis risk and encourages manipulation because of the additional randomness in volume weight and the greater price impact enjoyed by the large trader. In contrast, an equal-weighted average pricing (EWAP) index preserves market completeness and discourages manipulation.

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来源期刊

Quarterly Journal of Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.