Showing 1 - 10 of 2,750
Persistent link: https://www.econbiz.de/10009763881
Persistent link: https://www.econbiz.de/10012877874
Persistent link: https://www.econbiz.de/10014515011
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...
Persistent link: https://www.econbiz.de/10012861734
Persistent link: https://www.econbiz.de/10012878116
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...
Persistent link: https://www.econbiz.de/10012480285
Persistent link: https://www.econbiz.de/10011573174
Persistent link: https://www.econbiz.de/10012128869
This dissertation investigates the emergence of the Frequent Batch Auction (FBA) as a new auction mechanism for …
Persistent link: https://www.econbiz.de/10014354517
Persistent link: https://www.econbiz.de/10012225915