Atlas-X Equity Financing: Unlocking New Methods to Securely Obfuscate Axe Inventory Data Based on Differential Privacy

arXiv:2404.06686v1 Announce Type: new
Abstract: Banks publish daily a list of available securities/assets (axe list) to selected clients to help them effectively locate Long (buy) or Short (sell) trades at reduced financing rates. This reduces costs for the bank, as the list aggregates the bank's internal firm inventory per asset for all clients of long as well as short trades. However, this is somewhat problematic: (1) the bank's inventory is revealed; (2) trades of clients who contribute to the aggregated …

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