This paper studies optimal index design to facilitate both hedging and alleviate illegal manipulation in a competitive equilibrium paradigm, modified to deal with manipulation. Specifically, a large trader is trading both derivatives and assets that effectively hides her trades behind the competitive market clearing mechanism. Unlike the strategic game paradigm, a volume-weighted average pricing (VWAP) index introduces basis risk and encourages manipulation because of the additional randomness in volume weight and the greater price impact enjoyed by the large trader. In contrast, an equal-weighted average pricing (EWAP) index preserves market completeness and discourages manipulation.

本文研究了优化指数设计，以促进对冲和缓解竞争均衡范式中的非法操纵，并对其进行修改以应对操纵。具体来说，一个大型交易者正在交易衍生品和资产，这实际上将她的交易隐藏在竞争性市场清算机制的背后。与战略博弈范式不同，交易量加权平均定价 (VWAP) 指数引入了基差风险并鼓励操纵，因为交易量权重的额外随机性和大型交易商享有的更大价格影响。相比之下，等权平均定价 (EWAP) 指数保持市场完整性并阻止操纵。