Kicking-the-bucket: Fast privacy-preserving trading using buckets
We examine bucket-based and volume-based algorithms for privacy-preserving asset
trading in a financial dark pool. Our bucket-based algorithm places orders in quantised
buckets, whereas the volume-based algorithm allows any volume size but requires more
complex validation mechanisms. In all cases, we conclude that these algorithms are highly
efficient and offer a practical solution to the commercial problem of preserving privacy of
order information in a dark pool trading venue.
trading in a financial dark pool. Our bucket-based algorithm places orders in quantised
buckets, whereas the volume-based algorithm allows any volume size but requires more
complex validation mechanisms. In all cases, we conclude that these algorithms are highly
efficient and offer a practical solution to the commercial problem of preserving privacy of
order information in a dark pool trading venue.
[PDF][PDF] Kicking-the-Bucket: Fast Privacy-Preserving Trading Using Buckets
We examine bucket-based and volume-based algorithms for privacy-preserving asset
trading in a financial dark pool. Our bucket-based algorithm places orders in quantised
buckets, whereas the volume-based algorithm allows any volume size but requires more
complex validation mechanisms. In all cases, we conclude that these algorithms are highly
efficient and offer a practical solution to the commercial problem of preserving privacy of
order information in a dark pool trading venue.
trading in a financial dark pool. Our bucket-based algorithm places orders in quantised
buckets, whereas the volume-based algorithm allows any volume size but requires more
complex validation mechanisms. In all cases, we conclude that these algorithms are highly
efficient and offer a practical solution to the commercial problem of preserving privacy of
order information in a dark pool trading venue.
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