American Economic Review: Vol. 104 No. 5 (May 2014)

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

Article 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

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.

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Authors

Budish, Eric (U Chicago)
Cramton, Peter (U MD)
Shim, John (U Chicago)

JEL Classifications

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


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