The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response *
From MaRDI portal
Publication:4963045
DOI10.1093/QJE/QJV027zbMath1400.91211OpenAlexW2117178771WikidataQ57310789 ScholiaQ57310789MaRDI QIDQ4963045
John Shim, Eric B. Budish, Peter Cramton
Publication date: 6 November 2018
Published in: The Quarterly Journal of Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/qje/qjv027
Related Items (20)
Optimal Auction Duration: A Price Formation Viewpoint ⋮ Informed speculation with k-level reasoning ⋮ Intermediation and price volatility ⋮ Machine learning and speed in high-frequency trading ⋮ Last look ⋮ High frequency traders and the price process ⋮ The high frequency trade off between speed and sophistication ⋮ Intraday power trading: toward an arms race in weather forecasting? ⋮ The rise of the machines in commodities markets: new evidence obtained using strongly typed genetic programming ⋮ Understanding flash crash contagion and systemic risk: a micro-macro agent-based approach ⋮ Rational quantitative trading in efficient markets ⋮ Rational destabilization in a frictionless market ⋮ Attainment of equilibrium via Marshallian path adjustment: queueing and buyer determinism ⋮ Investment in high-frequency trading technology: a real options approach ⋮ Optimality versus practicality in market design: a comparison of two double auctions ⋮ Credible decentralized exchange design via verifiable sequencing rules ⋮ A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies ⋮ Convergence within binary market scoring rules ⋮ On the many-server fluid limit for a service system with routing based on delayed information ⋮ Over-the-counter versus double auction in asset markets with near-zero-intelligence traders
This page was built for publication: The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response *
