英文标题：
《Optimal make-take fees for market making regulation》
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作者：
Omar El Euch, Thibaut Mastrolia, Mathieu Rosenbaum, Nizar Touzi
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最新提交年份：
2019
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英文摘要：
We consider an exchange who wishes to set suitable make-take fees to attract liquidity on its platform. Using a principal-agent approach, we are able to describe in quasi-explicit form the optimal contract to propose to a market maker. This contract depends essentially on the market maker inventory trajectory and on the volatility of the asset. We also provide the optimal quotes that should be displayed by the market maker. The simplicity of our formulas allows us to analyze in details the effects of optimal contracting with an exchange, compared to a situation without contract. We show in particular that it leads to higher quality liquidity and lower trading costs for investors.
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中文摘要：
我们考虑一家交易所，该交易所希望设定适当的买入/卖出费用，以吸引其平台上的流动性。使用委托代理方法，我们能够以准显式的形式描述向做市商提出的最优合同。该合约主要取决于做市商的库存轨迹和资产的波动性。我们还提供做市商应显示的最佳报价。我们公式的简单性使我们能够详细分析有交易所的最优合约与无合约的情况相比的影响。我们特别表明，它为投资者带来了更高质量的流动性和更低的交易成本。
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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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