This website uses cookies.

By clicking the "Accept" button or continuing to browse our site, you agree to first-party and session-only cookies being stored on your device to enhance site navigation and analyze site performance and traffic. For more information on our use of cookies, please see our Privacy Policy.

  1. Home
  2. Journals
  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

Download Full Text PDF

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