Economics dissertation exploration
One large order or ten small ones
One large order or ten small ones. The same request can get a different fill.
A market-maker protection rule sounds like a back-office detail. Where it checks the limit can change how much of a posted book a buyer actually gets.
View larger ↗The example below holds the book fixed and changes whether the rule checks after an incoming order or after each fill. A 100-contract request produces 100 fills under one rule and 40 under the other, using the stated toy assumptions.
The economics starts after the example
The dissertation question is what happens once traders anticipate that difference. A provider can change its quotes; a buyer can change how it packages the request. Comparing them at the same risk budget is more interesting than just holding the trigger number fixed.
The project currently has a research dossier, a 40-source ledger and a working toy model. The next step is a small economic model that goes beyond the exchange examples already documented.
The research behind it
Four screened dissertation ideas, a 40-source ledger and explicit data-feasibility checks.
An interactive toy example comparing order-level and fill-level checks.
The next question is how a dealer would set quotes around this rule, and how execution changes when the risk budget is held comparable. The toy model gives that research a concrete starting point.