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Analyses of Market Structures.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Analyses of Market Structures.
Author:	Chen, Daniel Timothy.
Published:	Ann Arbor : ProQuest Dissertations & Theses, 2023
Description:	242 p.
Notes:	Source: Dissertations Abstracts International, Volume: 85-04, Section: A.
Notes:	Advisor: Sannikov, Yuliy;Skrzypacz, Andrzej;Duffie, Darrell;Wilson, Robert.
Contained By:	Dissertations Abstracts International85-04A.
Subject:	Auctions.
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=30615135
ISBN:	9798380470216

Analyses of Market Structures.
Chen, Daniel Timothy.

Analyses of Market Structures. - Ann Arbor : ProQuest Dissertations & Theses, 2023 - 242 p.

Source: Dissertations Abstracts International, Volume: 85-04, Section: A.

Thesis (Ph.D.)--Stanford University, 2023.

This item must not be sold to any third party vendors.

This thesis contains three chapters that each investigates a question related to market structure.Chapter 1 is entitled “The Market for Attention.” We build a dynamic model of competing platforms that profit from targeted advertising. In the model, platforms offer quality services to consumers at zero prices in exchange for attention. Platforms then monetize the attention by using consumer data to sell targeted ads to firms in a product market. To compete for attention, platforms invest in the quality of their services. The model shows how ad revenues, the quality of platforms’ services, and the allocation in the product market are determined in equilibrium. We find that accounting for interactions among the different market sides is essential: intuitive comparative statics based on single-sided reasoning can flip, the short run effects of policies may look very different from the long run effects, and there are nontrivial tradeoffs among the market sides. We illustrate these findings in the context of data and interoperability policies, two of the leading regulatory tools of this market.Chapter 2 is entitled “Market Fragmentation” and is based on joint work with Darrell Duffie. We model a simple market setting in which fragmentation of trade of the same asset across multiple exchanges improves allocative efficiency. Fragmentation reduces the inhibiting effect of price-impact avoidance on order submission. Although fragmentation reduces market depth on each exchange, it also isolates cross-exchange price impacts, leading to more aggressive overall order submission and better rebalancing of unwanted positions across traders. Fragmentation also has implications for the extent to which prices reveal traders’ private information. While a given exchange price is less informative in more fragmented markets, all exchange prices taken together are more informative.Chapter 3 is entitled “Optimal Design of a Financial Exchange.” We consider the design of a market for a single asset where a finite number of risk averse traders may trade to share risk from asset endowments. We derive the direct mechanisms that maximize a linear combination of expected revenue and allocative efficiency. We find that the first best allocation is Bayesian-Nash implementable with ex-ante budget balance if and only if the expectations of traders’ endowments are proportional to their risk capacities. We show that an optimal direct mechanism has an indirect implementation by a double auction with side payments. Thus there may be cause for regulation of side payments and potential to use them as effective policy tools.

ISBN: 9798380470216Subjects--Topical Terms:

234726
Auctions.

Analyses of Market Structures.
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520 $a This thesis contains three chapters that each investigates a question related to market structure.Chapter 1 is entitled “The Market for Attention.” We build a dynamic model of competing platforms that profit from targeted advertising. In the model, platforms offer quality services to consumers at zero prices in exchange for attention. Platforms then monetize the attention by using consumer data to sell targeted ads to firms in a product market. To compete for attention, platforms invest in the quality of their services. The model shows how ad revenues, the quality of platforms’ services, and the allocation in the product market are determined in equilibrium. We find that accounting for interactions among the different market sides is essential: intuitive comparative statics based on single-sided reasoning can flip, the short run effects of policies may look very different from the long run effects, and there are nontrivial tradeoffs among the market sides. We illustrate these findings in the context of data and interoperability policies, two of the leading regulatory tools of this market.Chapter 2 is entitled “Market Fragmentation” and is based on joint work with Darrell Duffie. We model a simple market setting in which fragmentation of trade of the same asset across multiple exchanges improves allocative efficiency. Fragmentation reduces the inhibiting effect of price-impact avoidance on order submission. Although fragmentation reduces market depth on each exchange, it also isolates cross-exchange price impacts, leading to more aggressive overall order submission and better rebalancing of unwanted positions across traders. Fragmentation also has implications for the extent to which prices reveal traders’ private information. While a given exchange price is less informative in more fragmented markets, all exchange prices taken together are more informative.Chapter 3 is entitled “Optimal Design of a Financial Exchange.” We consider the design of a market for a single asset where a finite number of risk averse traders may trade to share risk from asset endowments. We derive the direct mechanisms that maximize a linear combination of expected revenue and allocative efficiency. We find that the first best allocation is Bayesian-Nash implementable with ex-ante budget balance if and only if the expectations of traders’ endowments are proportional to their risk capacities. We show that an optimal direct mechanism has an indirect implementation by a double auction with side payments. Thus there may be cause for regulation of side payments and potential to use them as effective policy tools.
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