Implementation Details for Frequent Batch Auctions : Slowing Down Markets to the Blink of an Eye

@inproceedings{Budish2014ImplementationDF,
  title={Implementation Details for Frequent Batch Auctions : Slowing Down Markets to the Blink of an Eye},
  author={Eric Budish and Peter Cramton and John A Shim},
  year={2014}
}
Financial exchanges around the world predominantly use a market design called the continuous limit order book (CLOB). Our recent research, Budish, Cramton, and Shim (2013)— henceforth, BCS—argues that this design is flawed. In a continuous-time market, every time there is new public information that has implications for security prices—every change in the price of one security that has implications for the prices of correlated securities, every company announcement, etc.—there is a race to… CONTINUE READING

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