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The High-Frequency Trading Arms Race : Frequent Batch Auctions as a Market Design Response

Budish, Eric B. - 2018

, 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 …

Persistent link: https://www.econbiz.de/10012938112

On Frequent Batch Auctions for Stocks

Jagannathan, Ravi - 2019

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

Speed and learning in high-frequency auctions

Haas, Marlene; Khapko, Mariana; Zoican, Marius - In: Journal of financial markets 54 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10013273138

Developing a framework for real-time trading in a laboratory financial market

Marner-Hausen, Mark - 2022 - This version: January 31, 2022

One of the challenges that economic experiments that use artificial financial markets to explore high-frequency trading face, is the development of a sufficiently sophisticated software. Moreover, it is not trivial to adequately communicate the complex financial market rules to non-experts. The...

Persistent link: https://www.econbiz.de/10013257732