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摘要翻译：
我们引入了一类基于效用的做市商，它们总是以风险中性的价格接受订单。我们导出了这类做市商有界亏损的充要条件。我们证明了双曲绝对风险厌恶效用做市商与加权伪球评分规则做市商是等价的。特别是，汉森的对数评分规则做市商对应于我们框架中的负指数效用做市商。我们描述了基于维护成本函数的第三个等价公式，对于实现目的来说，这似乎是最自然的，并且我们说明了如何在三个等价公式之间进行翻译。我们考察了市场流动性和做市商最坏情况下的损失之间的权衡。对于最坏情况损失的固定范围，有些做市商在统一价格附近表现出较大的流动性，有些在极端价格附近表现出较大的流动性，但没有一个做市商在所有制度中都能表现出一致的较大流动性。对于固定的最小流动性水平，在一定的正则性条件下，给出了做市商最坏损失的下界。
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英文标题：
《A Utility Framework for Bounded-Loss Market Makers》
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作者：
Yiling Chen, David M Pennock
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最新提交年份：
2012
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分类信息：
一级分类：Computer Science 计算机科学
二级分类：Computer Science and Game Theory 计算机科学与博弈论
分类描述：Covers all theoretical and applied aspects at the intersection of computer science and game theory, including work in mechanism design, learning in games (which may overlap with Learning), foundations of agent modeling in games (which may overlap with Multiagent systems), coordination, specification and formal methods for non-cooperative computational environments. The area also deals with applications of game theory to areas such as electronic commerce.
涵盖计算机科学和博弈论交叉的所有理论和应用方面，包括机制设计的工作，游戏中的学习（可能与学习重叠），游戏中的agent建模的基础（可能与多agent系统重叠），非合作计算环境的协调、规范和形式化方法。该领域还涉及博弈论在电子商务等领域的应用。
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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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英文摘要：
We introduce a class of utility-based market makers that always accept orders at their risk-neutral prices. We derive necessary and sufficient conditions for such market makers to have bounded loss. We prove that hyperbolic absolute risk aversion utility market makers are equivalent to weighted pseudospherical scoring rule market makers. In particular, Hanson's logarithmic scoring rule market maker corresponds to a negative exponential utility market maker in our framework. We describe a third equivalent formulation based on maintaining a cost function that seems most natural for implementation purposes, and we illustrate how to translate among the three equivalent formulations. We examine the tradeoff between the market's liquidity and the market maker's worst-case loss. For a fixed bound on worst-case loss, some market makers exhibit greater liquidity near uniform prices and some exhibit greater liquidity near extreme prices, but no market maker can exhibit uniformly greater liquidity in all regimes. For a fixed minimum liquidity level, we give the lower bound of market maker's worst-case loss under some regularity conditions.
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PDF链接：
https://arxiv.org/pdf/1206.5252
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