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
Creative Commons Attribution
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},
      note = {\url{https://eprint.iacr.org/2021/1549}},
      url = {https://eprint.iacr.org/2021/1549}
}
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