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Quantitative Finance · Glossaire

Qu'est-ce que « Price-improvement auction » ?

Definition 24.4 Markets I: The Ecosystem and Exchange-Traded Markets · Chapitre 24 — Options Market Structure

In a price-improvement auction a member submits a customer’s order (the agency order) together with its own contra order guaranteeing execution of the whole at a stop price at or better than the best displayed price. The exchange announces the auction, collects responses for a short fixed period, and executes the agency order against the best-priced responses first. At the final price the initiating member retains a guaranteed share.

A price-improvement auction at the minimum period. A responder has a tenth of a second, less its distance from the exchange, to receive the message, price the option and answer.
Figure 24.2. A price-improvement auction at the minimum period. A responder has a tenth of a second, less its distance from the exchange, to receive the message, price the option and answer.
Simulated auctions of a 100-lot order: the initiating firm’s average share. With one responder on average who never improves, it keeps two thirds; with three who improve half the time, an eighth. The guarantee is worth what the competition lets it be worth. Data: the tutorial’s simulation.
Figure 24.3. Simulated auctions of a 100-lot order: the initiating firm’s average share. With one responder on average who never improves, it keeps two thirds; with three who improve half the time, an eighth. The guarantee is worth what the competition lets it be worth. Data: the tutorial’s simulation.
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