On Frequent Batch Auctions for Stocks*

Tail Expectation and Imperfect Competition in Limit Order Book Markets

Ravi Jagannathan

Journal of Financial Econometrics, 2022, vol. 20, issue 1, 1-17

Abstract: I show that frequent batch auctions for stocks have the potential to reduce the severity of stock price crashes when they occur. For a given sequence of orders from a continuous electronic limit order book market, matching orders using one-second apart batch auctions results in nearly the same trades and prices. Increasing the time interval between auctions to one minute significantly reduces the severity stock price crashes. In spite of this and other advantages pointed out in the literature, frequent batch auctions have not caught on. There is a need for carefully designed market experiments to understand why and what aspect of reality academic research may be missing.

Keywords: trading mechanisms; frequent batch auctions; continuous trading; limit order book; HFT; high-frequency trading; flash crash; liquidity (search for similar items in EconPapers)
JEL-codes: G00 G1 G12 G14 G18 G2 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1093/jjfinec/nbz038 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
Working Paper: On Frequent Batch Auctions for Stocks (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:jfinec:v:20:y:2022:i:1:p:1-17.

Ordering information: This journal article can be ordered from
https://academic.oup.com/journals

Access Statistics for this article

Journal of Financial Econometrics is currently edited by Allan Timmermann and Fabio Trojani

More articles in Journal of Financial Econometrics from Oxford University Press Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().