公平市场机制设计

Kshama Dwarakanath, Svitlana Vyetrenko, T. Balch
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引用次数: 1

摘要

我们认为交易市场是由具有不同交易策略和目标的交易者组成的。市场允许供应商列出他们的商品,并促进买家和卖家之间的匹配。作为回报,这样的市场通常会收取促进交易的费用。这项工作的目标是为市场设计一个动态的收费时间表,该时间表对所有交易者都是公平和有利可图的,同时对市场也是有利可图的(从收费中)。由于交易者调整他们的策略以适应收费时间表,我们提出了一个强化学习框架,用于同时学习市场收费时间表和使用利润和公平性加权优化目标适应该收费时间表的交易策略。我们详细说明了在不同类型投资者(特别是做市商和消费者投资者)的模拟证券交易所中使用所提出的方法。当我们改变不同投资者类别的股权权重时,我们看到,学习到的交易费用时间表开始倾向于权重最高的投资者类别。在公平市场机制设计的一般框架下,我们进一步讨论了模拟证券交易所的观察结果。
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Equitable Marketplace Mechanism Design
We consider a trading marketplace that is populated by traders with diverse trading strategies and objectives. The marketplace allows the suppliers to list their goods and facilitates matching between buyers and sellers. In return, such a marketplace typically charges fees for facilitating trade. The goal of this work is to design a dynamic fee schedule for the marketplace that is equitable and profitable to all traders while being profitable to the marketplace at the same time (from charging fees). Since the traders adapt their strategies to the fee schedule, we present a reinforcement learning framework for simultaneously learning a marketplace fee schedule and trading strategies that adapt to this fee schedule using a weighted optimization objective of profits and equitability. We illustrate the use of the proposed approach in detail on a simulated stock exchange with different types of investors, specifically market makers and consumer investors. As we vary the equitability weights across different investor classes, we see that the learnt exchange fee schedule starts favoring the class of investors with the highest weight. We further discuss the observed insights from the simulated stock exchange in light of the general framework of equitable marketplace mechanism design.
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