A Parimutuel Market Microstructure for Contingent Claims Trading

25 Pages Posted: 8 Feb 2010

See all articles by Jeffrey Lange

Jeffrey Lange

Longitude, Inc.

Nicholas Economides

New York University - Leonard N. Stern School of Business - Department of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: November 2001

Abstract

A parimutuel market microstructure for contingent claims trading is proposed and analyzed. A parimutuel microstructure is a call auction where relative equilibrium prices of contingent claims are endogenously determined using a specific mechanism. We propose a market microstructure incorporating parimutuel principles which provides for notional derivatives transactions, limit orders, and bundling of contingent claims across states. This microstructure will be used by Longitude Inc.'s clients to transact derivatives on economic statistics, weather, insurance losses and other types of risks. JPMorgan Chase and Deutsche Bank are some of the financial institutions that will be holding parimutuel auctions in early 2002.

Suggested Citation

Lange, Jeffrey and Economides, Nicholas, A Parimutuel Market Microstructure for Contingent Claims Trading (November 2001). NYU Working Paper No. 2451/26904, NYU Working Paper No. S-DRP-01-16, Available at SSRN: https://ssrn.com/abstract=1548811

Jeffrey Lange

Longitude, Inc. ( email )

650 5th Avenue
29th Floor
New York, NY 10019
(212) 468-8502 (Phone)
(212) 468-8509 (Fax)

Nicholas Economides

New York University - Leonard N. Stern School of Business - Department of Economics ( email )

44 West 4th Street
New York, NY 10012
United States
212-998-0864 (Phone)
212-995-4218 (Fax)

HOME PAGE: http://www.stern.nyu.edu/networks/

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
49
Abstract Views
1,192
PlumX Metrics