Cryptology ePrint Archive: Report 2021/1549

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

Mariana Botelho da Gama and John Cartlidge and Antigoni Polychroniadou and 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.

Category / Keywords: applications /

Original Publication (with major differences): Financial Cryptography 2022

Date: received 25 Nov 2021, last revised 6 Dec 2021

Contact author: mariana botelhodagama at kuleuven be, john cartlidge at bristol ac uk, antigoni polychroniadou at jpmorgan com, nigel smart at kuleuven be, younes talibialaoui at kuleuven be

Available format(s): PDF | BibTeX Citation

Note: Fixed some missing bibliographic entries

Version: 20211206:122143 (All versions of this report)

Short URL: ia.cr/2021/1549


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