A Parimutuel Market Microstructure for Contingent Claims Trading
提出并分析了一种基于配对赌注原理的市场微观结构，用于或有债权交易，支持名义衍生品交易、限价订单和跨状态捆绑，对金融从业者和市场设计研究者有参考价值。
A parimutuel market microstructure for contingent claims trading is\nproposed and analyzed. A parimutuel microstructure is a call auction\nwhere relative equilibrium prices of contingent claims are endogenously\ndetermined using a specific mechanism. We propose a market\nmicrostructure incorporating parimutuel principles which provides for\nnotional derivatives transactions, limit orders, and bundling of\ncontingent claims across states. This microstructure will be used by\nLongitude Inc.'s clients to transact derivatives on economic statistics,\nweather, insurance losses and other types of risks. JPMorgan Chase and\nDeutsche Bank are some of the financial institutions that will be\nholding parimutuel auctions in early 2002.