The high-frequency trading arms race: Frequent batch auctions as a market design response

E Budish, P Cramton, J Shim - The Quarterly Journal of …, 2015 - academic.oup.com
The high-frequency trading arms race is a symptom of flawed market design. Instead of the
continuous limit order book market design that is currently predominant, we argue that …

[HTML][HTML] The flash crash: a review

AN Akansu - Journal of Capital Markets Studies, 2017 - emerald.com
Purpose The purpose of this paper is to present an overview of the flash crash, and explain
why and how it happened. Design/methodology/approach The author summarizes several …

High frequency market making: Implications for liquidity

Y Ait-Sahalia, M Saglam - Available at SSRN 2908438, 2017 - papers.ssrn.com
We analyze the consequences for liquidity provision of competing market makers operating
at high frequency. Competition increases overall liquidity and deters the fast market maker's …

Strategic market choice: Frequent call markets vs. continuous double auctions for fast and slow traders

E Wah, D Hurd, M Wellman - EAI Endorsed Transactions on Serious …, 2015 - eudl.eu
Frequent call markets have been proposed as a market design solution to the latency arms
race perpetuated by high-frequency traders in continuous markets, but the path to …

[HTML][HTML] Latency arbitrage in fragmented markets: A strategic agent-based analysis

E Wah, MP Wellman - Algorithmic Finance, 2016 - content.iospress.com
We study the effect of latency arbitrage on allocative efficiency and liquidity in fragmented
financial markets. We employ a simple model of latency arbitrage in which a single security …

[PDF][PDF] High frequency market making

Y Aıt-Sahalia, M Saglam - 2016 - c.mql5.com
We propose an inventory-based model of market making where a strategic high frequency
trader exploits his speed and informational advantages to place quotes that interact with low …

Beyond the frequency wall: Speed and liquidity on batch auction markets

M Haas, MA Zoican - 2016 - ideas.repec.org
Frequent batch auction (FBA) markets do not necessarily improve liquidity relative to
continuous-time trading. HFTs submit quotes that become stale if the market clears before …

Call auction frequency and market quality: Evidence from the Taiwan Stock Exchange

M Twu, J Wang - Journal of Asian Economics, 2018 - Elsevier
Financial market quality is generally assessed with respect to efficiency, liquidity, and
stability. The frequency of trading contributes to these attributes. The Taiwan Stock …

[PDF][PDF] Discrete or continuous trading? HFT competition and liquidity on batch auction markets

M Haas, MA Zoican - Université Paris-Dauphine, 2016 - fese.eu
A batch auction market does not necessarily improve liquidity relative to continuous-time
trading. HFTs submit quotes that become stale if the market clears before they process new …

[PDF][PDF] Mixed FIFO/Pro Rata Match Algorithms

R Almgren, E Krel - CME, 2013 - hughchristensen.com
Effective May 29, 2013, the NYSE LIFFE exchange announced a change to the pro rata
trade matching algorithm for three month Short Sterling and Euroswiss futures contracts …