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

Eric Budish, Peter Cramton () and John Shim

American Economic Review, 2014, vol. 104, issue 5, 418-24

Abstract: Our recent research (Budish, Cramton, and Shim 2013) proposes frequent batch auctions—uniform-price sealed-bid double auctions conducted at frequent but discrete time intervals—as a market design alternative to continuous-time trading in financial markets. This short paper discusses the implementation details of frequent batch auctions. We outline the process flow for frequent batch auctions, discuss a modification to the market design that accommodates market fragmentation and Reg NMS, and discuss the engineering and economic considerations relevant for determining the batch interval. Open questions are discussed throughout.

JEL-codes: D44 D47 G12 (search for similar items in EconPapers)
Date: 2014
Note: DOI: 10.1257/aer.104.5.418
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