Market mechanism refinement on a continuous limit order book venue: a case study

@article{Melton2017MarketMR,
  title={Market mechanism refinement on a continuous limit order book venue: a case study},
  author={Hayden Melton},
  journal={SIGecom Exch.},
  year={2017},
  volume={16},
  pages={72-77}
}
  • H. Melton
  • Published 25 September 2017
  • Economics
  • SIGecom Exch.
This letter describes an exercise in market mechanism refinement that was recently undertaken on a major electronic trading venue: Thomson Reuters Matching. The exercise sought to address problems associated with continuous markets that have been described in recent literature. To this end, the design of the refinement is described, and its consequences are discussed. 

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