Kicking-the-Bucket: Fast Privacy-Preserving Trading Using Buckets

Mariana Botelho da Gama; John Cartlidge; Antigoni Polychroniadou; Nigel P.  Smart; Younes Talibi Alaoui

Paper 2021/1549

Kicking-the-Bucket: Fast Privacy-Preserving Trading Using Buckets

Mariana Botelho da Gama, John Cartlidge, Antigoni Polychroniadou, Nigel P. Smart, and Younes Talibi Alaoui

Abstract

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.

Note: Fixed some missing bibliographic entries

Metadata

Available format(s): PDF
Category: Applications
Publication info: Published elsewhere. Major revision. Financial Cryptography 2022
Contact author(s): mariana botelhodagama @ kuleuven be
john cartlidge @ bristol ac uk
antigoni polychroniadou @ jpmorgan com
nigel smart @ kuleuven be
younes talibialaoui @ kuleuven be
History: 2021-12-06: revised; 2021-11-29: received; See all versions
Short URL: https://ia.cr/2021/1549
License: CC BY

BibTeX

@misc{cryptoeprint:2021/1549,
      author = {Mariana Botelho da Gama and John Cartlidge and Antigoni Polychroniadou and Nigel P.  Smart and Younes Talibi Alaoui},
      title = {Kicking-the-Bucket: Fast Privacy-Preserving Trading Using Buckets},
      howpublished = {Cryptology {ePrint} Archive, Paper 2021/1549},
      year = {2021},
      url = {https://eprint.iacr.org/2021/1549}
}