I show that frequent batch auctions for stocks have the potential to reduce the severity of stock price crashes when they occur. For a given sequence of orders from a continuous electronic limit order book market, matching orders using one second apart batch auctions results in nearly the same...

I show that frequent batch auctions for stocks have the potential to reduce the severity of stock price crashes when they occur. For a given sequence of orders from a continuous electronic limit order book market, matching orders using one second apart batch auctions results in nearly the same...

This dissertation investigates the emergence of the Frequent Batch Auction (FBA) as a new auction mechanism for financial exchanges. It aims to explore the performance of academically established algorithms, previously examined in Continuous Double Auctions, when simulated in an FBA. To achieve...