The high-frequency trading arms race: frequent batch auctions as a market design response

DOI10.1093/QJE/QJV027MaRDI QIDQ4963045zbMATH OpenOpenAlexWikidataFDO

Authors Eric B. Budish, Peter Cramton, John Shim

Publication date 6 November 2018

Published in The Quarterly Journal of Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1093/qje/qjv027

zbMATH Keywords

market designfrequent batch auctionstrading arms race

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Recommendations

• Quantifying the high-frequency trading ``arms race
• The high frequency trade off between speed and sophistication
• A dysfunctional role of high frequency trading in electronic markets
• Liquidity suppliers and high frequency trading
• Liquidity effects of trading frequency

Cited in

(23)

• Informed speculation with k-level reasoning
• On the many-server fluid limit for a service system with routing based on delayed information
• Understanding flash crash contagion and systemic risk: a micro-macro agent-based approach
• Intermediation and price volatility
• A Markov model of a limit order book: thresholds, recurrence, and trading strategies
• Optimality versus practicality in market design: a comparison of two double auctions
• Sharks in the dark: quantifying HFT dark pool latency arbitrage
• Machine learning and speed in high-frequency trading
• Credible decentralized exchange design via verifiable sequencing rules
• Attainment of equilibrium via Marshallian path adjustment: queueing and buyer determinism
• Rational quantitative trading in efficient markets
• Rational destabilization in a frictionless market
• AHEAD: \textit{ad hoc} electronic auction design
• Optimal auction duration: a price formation viewpoint
• Last look
• Intraday power trading: toward an arms race in weather forecasting?
• Convergence within binary market scoring rules
• The high frequency trade off between speed and sophistication
• High frequency traders and the price process
• Quantifying the high-frequency trading ``arms race
• Over-the-counter versus double auction in asset markets with near-zero-intelligence traders
• Investment in high-frequency trading technology: a real options approach
• The rise of the machines in commodities markets: new evidence obtained using strongly typed genetic programming

This page was built for publication: The high-frequency trading arms race: frequent batch auctions as a market design response

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4963045)