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Bounded Temporal Fairness for FIFO Financial Markets.

Mavroudis, V; (2020) Bounded Temporal Fairness for FIFO Financial Markets. In: Anderson, J and Stajano, F and Christianson, B and Matyás, V, (eds.) Security Protocols 2019: Security Protocols XXVII. (pp. pp. 91-103). Springer: Cambridge, UK. Green open access

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Abstract

Financial exchange operators cater to the needs of their users while simultaneously ensuring compliance with the financial regulations. In this work, we focus on the operators’ commitment for fair treatment of all competing participants. We first discuss unbounded temporal fairness and then investigate its implementation and infrastructure requirements for exchanges. We find that these requirements can be fully met only under ideal conditions and argue that unbounded fairness in FIFO markets is unrealistic. To further support this claim, we analyse several real-world incidents and show that subtle implementation inefficiencies and technical optimizations suffice to give unfair advantages to a minority of the participants. We finally introduce, ϵ -fairness, a bounded definition of temporal fairness and discuss how it can be combined with non-continuous market designs to provide equal participant treatment with minimum divergence from the existing market operation.

Type: Proceedings paper
Title: Bounded Temporal Fairness for FIFO Financial Markets.
Event: Security Protocols: 27th International Workshop on Security Protocols
ISBN-13: 978-3-030-57042-2
Open access status: An open access version is available from UCL Discovery
DOI: 10.1007/978-3-030-57043-9_9
Publisher version: https://doi.org/10.1007/978-3-030-57043-9_9
Language: English
Additional information: This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions.
UCL classification: UCL
UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science
URI: https://discovery.ucl.ac.uk/id/eprint/10115978
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