We propose a new market design for trading financial assets. The design allows traders to directly trade any user-defined linear combination of assets. Orders for such portfolios are expressed as downward-sloping piecewise-linear demand curves with quantities as flows (shares/second). Batch auctions clear all asset markets jointly in discrete time. Market-clearing prices and quantities are shown to exist, despite the wide variety of preferences that can be expressed. Calculating prices and quantities is shown to be computationally feasible. Microfoundations are provided to show that traders can implement optimal strategies using portfolio orders. The proposal has several advantages over the status quo.

More on this topic

BFI Working Paper·Mar 31, 2026

The Hidden Cost of Stock Market Concentration: When Funds Hit Regulatory Limits

Lubos Pastor, Taisiya Sikorskaya, and Jinrui Wang
Topics: Financial Markets
BFI Working Paper·Mar 27, 2026

Financial Sanctions and the Global Payments Network

Gregor Matvos and Brent Neiman
Topics: Financial Markets
BFI Working Paper·Jan 21, 2026

FinTech and Customer Capital

Bianca He, Lauren Mostrom, and Amir Sufi
Topics: Financial Markets, Technology & Innovation