Cryptographic Combinatorial Securities Exchanges

10 years 9 days ago
Cryptographic Combinatorial Securities Exchanges
Abstract. We present a useful new mechanism that facilitates the atomic exchange of many large baskets of securities in a combinatorial exchange. Cryptography prevents information about the securities in the baskets from being exploited, enhancing trust. Our exchange offers institutions who wish to trade large positions a new alternative to existing methods of block trading: they can reduce transaction costs by taking advantage of other institutions’ available liquidity, while third party liquidity providers guarantee execution—preserving their desired portfolio composition at all times. In our exchange, institutions submit encrypted orders which are crossed, leaving a “remainder”. The exchange proves facts about the portfolio risk of this remainder to third party liquidity providers without revealing the securities in the remainder, the knowledge of which could also be exploited. The third parties learn either (depending on the setting) the portfolio risk parameters of the rem...
Christopher Thorpe, David C. Parkes
Added 26 May 2010
Updated 26 May 2010
Type Conference
Year 2009
Where FC
Authors Christopher Thorpe, David C. Parkes
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