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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...
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This dissertation investigates the emergence of the Frequent Batch Auction (FBA) as a new auction mechanism for …
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of the FBA design removes the inefficiency by allowing traders to submit orders conditional on auction excess demand. …
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, and orders should be processed in a batch auction instead of serially. Our argument has three parts. First, we use … time reduces the value of tiny speed advantages, and the auction transforms competition on speed into competition on price …
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