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  3. American Economic Review
  4. May 2014
  5. Implementation Details for Frequent Batch Auctions: Slowing Down Markets to the Blink of an Eye

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

  • Eric Budish
  • Peter Cramton
  • John Shim
American Economic Review
vol. 104, no. 5, May 2014
(pp. 418-24)
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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.

Citation

Budish, Eric, Peter Cramton, and John Shim. 2014. "Implementation Details for Frequent Batch Auctions: Slowing Down Markets to the Blink of an Eye." American Economic Review, 104 (5): 418-24. DOI: 10.1257/aer.104.5.418

Additional Materials

JEL Classification

  • D44 Auctions
  • D47 Market Design
  • G12 Asset Pricing; Trading Volume; Bond Interest Rates