1. Exchange Market for Combinatorial Orders Committee: Eugene Fink Dmitry B. Goldgof Sudeep Sarkar Jenny Y. Hu

2. Motivation Build an automated exchange for trading goods and services

3. Motivation Build an automated exchange for trading goods and services Combine the speed and liquidity of the stock exchange

4. Motivation Build an automated exchange for trading goods and services Combine the speed and liquidity of the stock exchange with the flexibility of eBay +

5. Outline Previous work

6. Outline Previous work Complex exchange Data structures

7. Outline Previous work Complex exchange Data structures Josh

8. Outline Previous work Complex exchange Data structures Price and quality functions Combinatorial orders Josh

9. Outline Previous work Complex exchange Data structures Price and quality functions Combinatorial orders Josh Jenny

10. Outline Previous work Complex exchange Data structures Price and quality functions Combinatorial orders Josh Jenny

11. Previous Work Combinatorial auctions Standardized exchanges

12. Combinatorial Auctions Complex commodities Asymmetry between buyers and sellers Illiquid Examples: OptiBid, SBIDS, eMediator

13. Standardized Exchanges Simple commodities Symmetry between buyers and sellers Liquid Examples: Stocks, Futures

14. Outline Previous work Complex exchange Data structures Price and quality functions Combinatorial orders

15. Complex Exchange Market Orders Fills

16. Market All items that can be traded form a market. Example: All conceivable vehicles compose a car market.

17. Orders An order is a subset of the market along with a price limit. Example: Any Mustang or Corvette, made after 1998, for $36,000.

18. Buy and Sell Orders Price Sell order Price Buy order

19. Price Buy order Buy and Sell Orders Sell order

20. Fills Buy order: Any Color Sports Car $36,000 Sell order: Silver Limo $50,000 or Red Mustang $32,000 Fill: Red Mustang $34,000

21. Implemented Exchange System Specific sell orders. Good: Sell a red Mustang, made in 1999. Bad: Sell any color Mustang, made before 1999.

22. Implemented Exchange System Price Buy order Price Sell order

23. Implemented Exchange System Price Buy order Sell order

24. Outline Previous work Complex exchange Data structures Price and quality functions Combinatorial orders

25. Main Structures Tree of sell orders List of buy orders

26. Tree of Sell Orders Model CorvetteMustang

27. Tree of Sell Orders Model Color CorvetteMustang RedBlackGreyRedWhite

28. Tree of Sell Orders Model Year Color Year CorvetteMustang RedBlackGreyRed 1996 White Red Mustang made in 1996

29. Tree of Sell Orders Model Year Color Year CorvetteMustang RedBlack 1996 White Red Mustang made in 1996 Color Camry Red Year Red Camry made in 1992 1992 Year Grey Grey Corvette made in 1998 1998 Year Silver Silver Camry made in 2000 2000

30. Trading Cycle Process all new orders Re-match all old orders Stop trading? Yes No

31. Outline Previous work Complex exchange Data structures Price and quality functions Combinatorial orders

32. Price Functions The price may depend on an item. Price Market

33. Price Functions The price may depend on an item. Price Market Price function: I  Price. I

34. Price Functions The price may depend on an item. Price Market Price function: I  Price. Example: Buy Toyota Tercel, made after 1998. Price function: $10,000  $0.1  miles. I

35. Price Functions The price may depend on an item. Price Buy order I Sell order Price

36. Price Functions The price may depend on an item. Price Buy order Sell order

37. Quality Functions The transaction quality may depend on an item and its price.

38. Quality Functions The transaction quality may depend on an item and its price. Price Market I

39. Quality Functions The transaction quality may depend on an item and its price. Price Market Quality I

40. Quality Functions The transaction quality may depend on an item and its price. Price Market Quality function: I  Price  Quality. Quality I

41. Quality Functions The transaction quality may depend on an item and its price. Price Market Quality function: I  Price  Quality. Example: Camry for $16,000 is better than Tercel for $10,000. Quality I

42. Search for Matches Price Buy order

43. Search for Matches Price Buy order Find sell orders with matching items

44. Search for Matches Price Buy order Find sell orders with matching items Select orders with matching prices

45. Search for Matches Price Buy order 3 Find sell orders with matching items Select orders with matching prices Compute their quality 2 1

46. Search for Matches Price Buy order 3 Find sell orders with matching items Select orders with matching prices Compute their quality Trade with best match

47. Outline Previous work Complex exchange Data structures Price and quality functions Combinatorial orders

48. Combinatorial Orders Disjunctions Conjunctions Chains Nested orders

49. Disjunctive Orders Executing one of several alternative transactions.

50. Disjunctive Orders Executing one of several alternative transactions.

51. Disjunctive Orders Executing one of several alternative transactions.

52. Disjunctive Orders Executing one of several alternative transactions.

53. Disjunctive Orders Executing one of several alternative transactions.

54. Search for Matches Price Market Find matches for each element

55. Search for Matches Price Market Find matches for each element

56. Search for Matches Price Market Find matches for each element

57. Search for Matches Price Market Find matches for each element

58. Search for Matches Price Market 5 Find matches for each element Compute their quality 4 3 2 1

59. Search for Matches Price Market 5 Trade with best match

60. Search for Matches Price Market 5 Trade with best match Remove all elements

61. Search for Matches Price Market Trade with best match Remove all elements

62. Conjunctive Orders Executing several transactions together.

63. Conjunctive Orders Executing several transactions together.

64. Conjunctive Orders Executing several transactions together.

65. Search for Matches Price Market Find matches for each element

66. Search for Matches Price Market Find matches for each element

67. Search for Matches Price Market Find matches for each element

68. Search for Matches Price Market If some elements have no matches, do not trade

69. Search for Matches Price Market 3 Compute the quality of matches 1 2 1 2

70. Search for Matches Price Market 3 Compute the quality of matches Find the best match for each element 2

71. Search for Matches Price Market 3 Trade with the best matches 2

72. Search for Matches Price Market Trade with the best matches Remove all elements

73. Chain Orders Executing several orders in a sequence.

74. Chain Orders Executing several orders in a sequence.

75. Chain Orders Executing several orders in a sequence.

76. Chain Orders Executing several orders in a sequence.

77. Chain Orders Executing several orders in a sequence.

78. Chain Orders Executing several orders in a sequence.

79. Chain Orders Executing several orders in a sequence.

80. Chain Orders Executing several orders in a sequence.

81. Chain Orders Executing several orders in a sequence.

82. Chain Orders Executing several orders in a sequence.

83. Nested Orders We can nest disjunctions.

84. Nested Orders We can nest disjunctions, conjunctions.

85. Nested Orders We can nest disjunctions, conjunctions.

86. Nested Orders We can nest disjunctions, conjunctions, and chains.

87. Main Results Extensions to the formal model of complex markets

88. Main Results Extensions to the formal model of complex markets Semantics of combinatorial orders

89. Main Results Extensions to the formal model of complex markets Semantics of combinatorial orders Exchange system with price functions, quality functions, and combinatorial orders

90. Future Work Short-term (M.S.) Fast search for optimal matches (Jianli) Live order editing

91. Future Work Short-term (M.S.) Fast search for optimal matches (Jianli) Live order editing Long-term (Ph.D.) Extended sell orders Integration with combinatorial auctions Distributed broker agents