Too fast or too slow? Determining the optimal speed of financial markets

Daniel Fricke () and Austin Gerig

Quantitative Finance, 2018, vol. 18, issue 4, 519-532

Abstract: Market quality is maximized at intermediate batch auction intervals of a few seconds when markets are neither too fast nor too slow and clearing price is near equilibrium

Date: 2018
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DOI: 10.1080/14697688.2017.1391405

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