OneChronos to Research Auction Formats in Capital Markets12.14.2021
OneChronos, a venture-backed operator of electronic markets for the trading of financial assets, announced the formation of OneChronos Labs, an independent group of leading academics and industry practitioners focused on the multidisciplinary problem of bringing transformative auction formats to capital markets.
The OneChronos ATS (“Alternative Trading System,” a.k.a. “dark pool”), a US equities periodic auction launching in early 2022, is a “Smart Market” that uses mathematical optimization and novel machine learning techniques to seek optimal trade matches between buyers and sellers. Smart Markets have proven transformative in many global industries ranging from telecommunications to manufacturing and logistics, given their ability to optimize for a pre-defined goal and expand the opportunity-set of possible matches by allowing users to express their business-specific constraints, including where they may have indifference between certain outcomes. The auction theory underpinning Smart Markets was the subject of the 2020 Nobel Prize in Economics.
Professor Paul Milgrom, a recipient of the 2020 Nobel Prize in Economics for his invention and commercialization of auction formats central to OneChronos, is the Chair of OneChronos Labs. Prof. Milgrom is a Professor of Economics at Stanford University whose primary research is auction design. OneChronos is also honored to announce the other members of OneChronos Labs, chosen for their unique and diverse technical expertise, industry experience, and contributions, including:
- Nicole Immorlica, Senior Principal Researcher at Microsoft Research, specializing in economics and computation with a particular focus on market design and mechanism design
- Scott Duke Kominers, Associate Professor, Harvard Business School, and Faculty Affiliate of the Harvard Department of Economics and the Harvard Center of Mathematical Sciences and Applications, and Research Economist at the National Bureau of Economic Research, with specialization in market design
- Kevin Leyton-Brown, Distinguished University Scholar, Professor of Computer Science at University of British Columbia, with specialization in the intersection of machine learning and game theory and electronic markets
- David Pennock, Professor of Computer Science at Rutgers University and Director of the Center for Discrete Mathematics and Theoretical Computer Science, who specializes in the economics and computation area of artificial intelligence
Paul Milgrom said, “Multiunit and combinatorial auctions proved transformational in the market for radio spectrum. The auction designs that I introduced beginning in 1993-1994 to address the nuanced requirements of spectrum market participants are the basis for most of the auctions used to allocate hundreds of billions of dollars of rights globally. Market design has been arguably the greatest real-world success for theoretical economics. Successful design starts by studying the needs of market participants, but the conventions and matching mechanisms of capital markets arose organically, predating theory and failing to take full advantage of modern computing capabilities. Having been part of market design’s academic and real-world successes in a variety of industries, I’m excited about OneChronos Labs and the prospect of applying proven principles to capital markets.”
To support its continued growth and R&D, OneChronos completed its Series A financing in June 2019. The round was led by Simon Yoo of Green Visor Capital, who previously led the OneChronos Seed. OneChronos is pleased to count Box Group, DCVC, Y Combinator, and notable angels as additional investors.
“Kelly, Stephen, Rich, and the team at OneChronos have always seen the bigger picture and have worked towards the greater good. Not only do they understand that ‘Smart Markets’ are the future of the capital markets — where optimized match-making of buy and sell orders will provide better liquidity for all — but the IP they developed can be utilized for breakthrough applications and use cases beyond equities,” said Simon Yoo.
“Smart Markets pose computational and workflow challenges that have historically limited their use to infrequent, high-stakes auctions. OneChronos has designed and built the first Smart Market ATS, fitting directly into existing broker trading algorithm workflows,” added Kelly Littlepage, Co-Founder and CEO of OneChronos. “OneChronos Labs will enhance the OneChronos R&D process and provide a conduit for collaborative research with partner academic institutions.”
OneChronos Markets LLC, the independent FINRA registered broker-dealer operating the ATS, filed its publicly available Form ATS-N with the SEC in February of 2020 and has satisfied its other regulatory obligations in preparation for its ATS go-live in early 2022. The team continues to work with its initial group of 15+ broker-dealers and liquidity providers to integrate into their trading algorithms and systems and prepare for go-live leading into the new year.
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