of the FBA design removes the inefficiency by allowing traders to submit orders conditional on auction excess demand. …

data. We use machine learning to identify five types of algorithmic imprints that hinder the processing of auction …

Faster trading improves liquidity in periodic call auction markets, in contrast to continuous-timemarkets. We build a … the likelihood that a single HFT arrives inany given auction and subsequently acts as a monopolist on information. Higher … improving liquidity. We find that faster trading and longer auction intervalsare substitute instruments to reduce bid …

-frequency trading. We explain how IEX differs from traditional continuous double auction markets and present summary data on IEX … of the continuous double auction. The model predicts that IEX will generally improve price efficiency and lower …

equilibrium model of this exchange design as a modification of the standard continuous double auction market format. The model …

; Double Auction …

implementation of the 3 pm local auction for quarters in Germany at the European Power Exchange (EPEX SPOT) in December 2014 to … challenges that are linked with a potential implementation of an intraday auction. …

Many bidders enter the Government of Canada securities auctions with short or long pre-auction inventory. We find that … bidding strategies and auction performance vary with pre-auction ownership structure. Short and long bidders bid higher … average prices and demand larger quantities than do bidders with neutral pre-auction inventory. The effects of pre-auction …