P2P网络借贷市场的双边拍卖机制设计
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摘要
针对P2P网络借贷交易的双边市场特征,提出一种P2P网络借贷的双边拍卖机制,用于改进国内P2P网络借贷市场的交易机制.首先,证明P2P网络借贷的双边拍卖机制满足激励相容特征,并且存在纳什均衡解.然后,根据该机制定价函数中的激励或惩罚系数,探讨借款人和贷款人的最优拍卖策略,并提供不同情形下的最优定价方案.最后,结合算例分析指出,该机制的定价随着激励或惩罚系数的变化而变化,可以向Prosper拍卖机制或拍拍贷撮合机制转变,并且在不影响机制最优性的前提下,可以调整激励或惩罚系数来改进借款人的支付成本;不同的借款人也可以根据自己对借款需求的紧迫性,自由选择不同情形下的拍卖机制.
Based on the bilateral market characteristics of online peer-to-peer(P2P) lending, this paper proposes a bilateral auction mechanism in order to optimize the operating mode of China's online P2 P lending market. In the process, the paper firstly demonstrates the incentive compatibility features of this auction mechanism, and demonstrates the Nash equilibrium of the mechanism. Then, according to the incentive or punishment coefficient of the pricing function in this mechanism, this paper explores the optimal auction strategy of borrowers and lenders, and offers the best pricing under different scenarios. Finally, the example analysis shows that different incentive or punishment coefficients can change the mechanism to the Prosper auction mechanism or PPDai mechanism, and the payment level of the mechanism changes with the incentive or punishment coefficient. Therefore, without affecting the optimality of the mechanism, the incentive or punishment coefficient can be adjusted to improve the borrower's payment cost. According to the urgency of the demand for loans, different borrowers can freely choose the auction mechanism under different scenarios.
Based on the bilateral market characteristics of online peer-to-peer(P2P) lending, this paper proposes a bilateral auction mechanism in order to optimize the operating mode of China's online P2 P lending market. In the process, the paper firstly demonstrates the incentive compatibility features of this auction mechanism, and demonstrates the Nash equilibrium of the mechanism. Then, according to the incentive or punishment coefficient of the pricing function in this mechanism, this paper explores the optimal auction strategy of borrowers and lenders, and offers the best pricing under different scenarios. Finally, the example analysis shows that different incentive or punishment coefficients can change the mechanism to the Prosper auction mechanism or PPDai mechanism, and the payment level of the mechanism changes with the incentive or punishment coefficient. Therefore, without affecting the optimality of the mechanism, the incentive or punishment coefficient can be adjusted to improve the borrower's payment cost. According to the urgency of the demand for loans, different borrowers can freely choose the auction mechanism under different scenarios.
引文
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[3] Liu D, Brass D J, Lu Y, et al. Friendships in online P2P lending:Pipes, prisms, and relational herding[J]. MIS Quarterly, 2015, 39(3):729-742.
[4] Puro L, Teich J E, Wallenius H, et al. Borrower decision aid for people-to-people lending[J]. Decision Support Systems, 2010, 49(1):52-60.
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[8]廖理,李梦然,王正位.聪明的投资者:非完全市场化利率与风险识别—–来自P2P网络借贷的证据[J].经济研究, 2014, 49(7):125-137.(Liao L, Li M R, Wang Z W. The intelligent investor:not-fully-marketized interest rate and risk identify:Evidence from P2P lending[J]. Economic Research J,2014, 49(7):125-137.)
[9]曾建光.网络安全风险感知与互联网金融的资产定价[J].经济研究, 2015, 50(7):131-145.(Zeng J G. Network security risk perception and asset pricing of internet finance[J]. Economic Research J, 2015,50(7):131-145.)
[10]周正龙,马本江,胡凤英.中国P2P网络借贷平台的动态逆向拍卖机制[J].系统工程理论与实践, 2017,37(2):409-417.(Zhou Z L, Ma B J, Hu F Y. Dynamic reverse auction mechanism on online P2P lending of China[J]. Systems Engineering—Theory and Practice, 2017, 37(2):409-417.)
[11] Chen N, Ghosh A, Lambert N S. Auctions for social lending:A theoretical analysis[J]. Games and Economic Behavior, 2014, 86(1):367-391.
[12] Nicolaisen J, Petrov V, Tesfatsion L. Market power and efficiency in a computational electricity market with discriminatory double-auction pricing[J]. IEEE Trans on Evolutionary Computation, 2001, 5(5):504-523.
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[15] Ma B J, Zhou Z L, Hu F Y. Pricing mechanisms in the online Peer-to-Peer lending market[J]. Electronic Commerce Research and Applications, 2017(26):119-130.
[16]周雄伟,朱恒先,李世刚.“平台参与投资”与P2P筹资效率—–基于拍拍贷平台“拍活宝”数据的经验研究[J].中国工业经济, 2017(4):155-175.(Zhou X W, Zhu H X, Li S G.“Platform participation investment”and P2P financing efficiency:An empirical study using“paihuobao”data of the paipaidai lending platform[J]. China Industrial Economics, 2017(4):155-175.)
[17]中国政府法制信息网.网络借贷信息中介机构业务活动管理暂行办法(征求意见稿)[EB/OL].(2016-08-24)[2017-09-04]. http://www.chinalaw.gov.cn/art/2017/1/18/art_14_182070.html.(China Banking Regulatory Commission. Interim measures for the management of business activities of internet lending information intermediary agencies[EB/OL].(2016-08-24)[2017-09-04]. http://www. chinalaw. gov. cn/art/2017/1/18/art_14_182070.html.)
[18]杨忠直,彭俊伟.随机最高限价拍卖的报价策略[J].管理科学学报, 2009, 12(6):100-105.(Yang Z Z, Peng J W. Bidding strategy for auctions with stochastic upper limit[J]. J of Management Sciences in China, 2009, 12(6):100-105.)
[19] Black F. Noise[J]. The J of Finance, 1986, 41(3):528-543.
[20] Shleifer A, Vishny R W. The limits of arbitrage[J]. The J of Finance, 1997, 52(1):35-55.
[2] Malekipirbazari M, Aksakalli V. Risk assessment in social lending via random forests[J]. Expert Systems with Applications, 2015, 42(10):4621-4631.
[3] Liu D, Brass D J, Lu Y, et al. Friendships in online P2P lending:Pipes, prisms, and relational herding[J]. MIS Quarterly, 2015, 39(3):729-742.
[4] Puro L, Teich J E, Wallenius H, et al. Borrower decision aid for people-to-people lending[J]. Decision Support Systems, 2010, 49(1):52-60.
[5] Lee E, Lee B. Herding behavior in online P2P lending:An empirical investigation[J]. Electronic Commerce Research and Applications, 2012, 11(5):495-503.
[6] Wu J H, Xu Y. A decision support system for borrower’s loan in P2P lending[J]. J of Computers, 2011, 6(6):1183-1190.
[7]陈冬宇,朱浩,郑海超.风险、信任和出借意愿—–基于拍拍贷注册用户的实证研究[J].管理评论, 2014,26(1):150-158.(Chen D Y, Zhu H, Zheng H C. Perceive risk, trust,and willingness to lend:An empirical study based on the users of PPDai.com[J]. Management Review, 2014,26(1):150-158.)
[8]廖理,李梦然,王正位.聪明的投资者:非完全市场化利率与风险识别—–来自P2P网络借贷的证据[J].经济研究, 2014, 49(7):125-137.(Liao L, Li M R, Wang Z W. The intelligent investor:not-fully-marketized interest rate and risk identify:Evidence from P2P lending[J]. Economic Research J,2014, 49(7):125-137.)
[9]曾建光.网络安全风险感知与互联网金融的资产定价[J].经济研究, 2015, 50(7):131-145.(Zeng J G. Network security risk perception and asset pricing of internet finance[J]. Economic Research J, 2015,50(7):131-145.)
[10]周正龙,马本江,胡凤英.中国P2P网络借贷平台的动态逆向拍卖机制[J].系统工程理论与实践, 2017,37(2):409-417.(Zhou Z L, Ma B J, Hu F Y. Dynamic reverse auction mechanism on online P2P lending of China[J]. Systems Engineering—Theory and Practice, 2017, 37(2):409-417.)
[11] Chen N, Ghosh A, Lambert N S. Auctions for social lending:A theoretical analysis[J]. Games and Economic Behavior, 2014, 86(1):367-391.
[12] Nicolaisen J, Petrov V, Tesfatsion L. Market power and efficiency in a computational electricity market with discriminatory double-auction pricing[J]. IEEE Trans on Evolutionary Computation, 2001, 5(5):504-523.
[13] McAfee P, McMillan J. Auction and bidding[J]. J of Economic Literature, 1987, 25(8):699-738.
[14] Chatterjee K, Samuelson W. Bargain under incomplete information[J]. Operation Research, 1983(31):835-851.
[15] Ma B J, Zhou Z L, Hu F Y. Pricing mechanisms in the online Peer-to-Peer lending market[J]. Electronic Commerce Research and Applications, 2017(26):119-130.
[16]周雄伟,朱恒先,李世刚.“平台参与投资”与P2P筹资效率—–基于拍拍贷平台“拍活宝”数据的经验研究[J].中国工业经济, 2017(4):155-175.(Zhou X W, Zhu H X, Li S G.“Platform participation investment”and P2P financing efficiency:An empirical study using“paihuobao”data of the paipaidai lending platform[J]. China Industrial Economics, 2017(4):155-175.)
[17]中国政府法制信息网.网络借贷信息中介机构业务活动管理暂行办法(征求意见稿)[EB/OL].(2016-08-24)[2017-09-04]. http://www.chinalaw.gov.cn/art/2017/1/18/art_14_182070.html.(China Banking Regulatory Commission. Interim measures for the management of business activities of internet lending information intermediary agencies[EB/OL].(2016-08-24)[2017-09-04]. http://www. chinalaw. gov. cn/art/2017/1/18/art_14_182070.html.)
[18]杨忠直,彭俊伟.随机最高限价拍卖的报价策略[J].管理科学学报, 2009, 12(6):100-105.(Yang Z Z, Peng J W. Bidding strategy for auctions with stochastic upper limit[J]. J of Management Sciences in China, 2009, 12(6):100-105.)
[19] Black F. Noise[J]. The J of Finance, 1986, 41(3):528-543.
[20] Shleifer A, Vishny R W. The limits of arbitrage[J]. The J of Finance, 1997, 52(1):35-55.