英文标题：
《Market Making with Model Uncertainty》
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作者：
Hee Su Roh, Yinyu Ye
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最新提交年份：
2015
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英文摘要：
  Pari-mutuel markets are trading platforms through which the common market maker simultaneously clears multiple contingent claims markets. This market has several distinctive properties that began attracting the attention of the financial industry in the 2000s. For example, the platform aggregates liquidity from the individual contingent claims market into the common pool while shielding the market maker from potential financial loss. The contribution of this paper is two-fold. First, we provide a new economic interpretation of the market-clearing strategy of a pari-mutuel market that is well known in the literature. The pari-mutuel auctioneer is shown to be equivalent to the market maker with extreme ambiguity aversion for the future contingent event. Second, based on this theoretical understanding, we present a new market-clearing algorithm called the Knightian Pari-mutuel Mechanism (KPM). The KPM retains many interesting properties of pari-mutuel markets while explicitly controlling for the market maker\'s ambiguity aversion. In addition, the KPM is computationally efficient in that it is solvable in polynomial time.
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中文摘要：
Pari mutuel markets是一种交易平台，通过该平台，共同做市商可以同时清算多个未定权益市场。这个市场有几个独特的属性，在21世纪初开始吸引金融业的注意。例如，该平台将个人或有权益市场的流动性聚合到公共池中，同时保护做市商免受潜在财务损失。本文的贡献有两个方面。首先，我们提供了一个新的经济学解释的市场清算策略的巴黎mutuel市场，这是众所周知的文献。pari mutuel拍卖师被证明相当于对未来或有事件具有极端模糊厌恶的做市商。其次，基于这种理论理解，我们提出了一种新的市场清算算法，称为Knightian-Pari-mutuel机制（KPM）。KPM保留了pari mutuel市场的许多有趣特性，同时明确控制了做市商的模糊厌恶情绪。此外，KPM在计算上是有效的，因为它在多项式时间内是可解的。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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