英文标题：
《Optimal make take fees in a multi market maker environment》
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作者：
Bastien Baldacci, Dylan Possama\\\"i, Mathieu Rosenbaum
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最新提交年份：
2021
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英文摘要：
Following the recent literature on make take fees policies, we consider an exchange wishing to set a suitable contract with several market makers in order to improve trading quality on its platform. To do so, we use a principal-agent approach, where the agents (the market makers) optimise their quotes in a Nash equilibrium fashion, providing best response to the contract proposed by the principal (the exchange). This contract aims at attracting liquidity on the platform. This is because the wealth of the exchange depends on the arrival of market orders, which is driven by the spread of market makers. We compute the optimal contract in quasi explicit form and also derive the optimal spread policies for the market makers. Several new phenomena appears in this multi market maker setting. In particular we show that it is not necessarily optimal to have a large number of market makers in the presence of a contracting scheme.
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中文摘要：
根据最近有关“做市商收取费用”政策的文献，我们考虑一家交易所希望与多家做市商订立合适的合同，以提高其平台上的交易质量。为此，我们采用委托代理法，即代理人（做市商）以纳什均衡方式优化报价，对委托人（交易所）提出的合同做出最佳响应。该合同旨在吸引平台上的流动性。这是因为交易所的财富取决于市场订单的到来，而市场订单的到来是由做市商的扩张驱动的。我们以准显式形式计算了最优合约，并推导了做市商的最优利差策略。在这种多做市商的背景下，出现了一些新现象。特别是，我们表明，在存在承包方案的情况下，拥有大量做市商并不一定是最优的。
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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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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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