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The high-frequency trading arms race: Frequent batch auctions as a market design response
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 …
continuous limit order book market design that is currently predominant, we argue that …
High‐frequency trading and market performance
We study the consequences of, and potential policy responses to, high‐frequency trading
(HFT) via the tradeoff between liquidity and information production. Faster speeds facilitate …
(HFT) via the tradeoff between liquidity and information production. Faster speeds facilitate …
Understand waiting time in transaction fee mechanism: An interdisciplinary perspective
Blockchain enables peer-to-peer transactions in cyberspace without a trusted third party.
The rapid growth of Ethereum and smart contract blockchains generally calls for well …
The rapid growth of Ethereum and smart contract blockchains generally calls for well …
The empirical analysis of liquidity
We provide a synthesis of the empirical evidence on market liquidity. The liquidity
measurement literature has established standard measures of liquidity that apply to broad …
measurement literature has established standard measures of liquidity that apply to broad …
Intraday markets for power: Discretizing the continuous trading
K Neuhoff, N Ritter, A Salah-Abou-El-Enien… - 2016 - JSTOR
A fundamental question regarding the design of electricity markets is whether adding
auctions to the continuous intraday trading is improving the performance of the market. To …
auctions to the continuous intraday trading is improving the performance of the market. To …
Cost functions are nonconvex in the outputs when the technology is nonconvex: Convexification is not harmless
This contribution focuses on testing the empirical impact of the convexity assumption in
estimating costs using nonparametric specifications of technology and cost functions. Apart …
estimating costs using nonparametric specifications of technology and cost functions. Apart …
Trading in fragmented markets
We study fragmentation of equity trading using a model of imperfect competition among
exchanges. In the model, increased competition drives down trading fees. However …
exchanges. In the model, increased competition drives down trading fees. However …
Factors affecting market participant decision making in the spanish intraday electricity market: Auctions vs. continuous trading
Intraday markets can be organized as continuous trading or discrete auction sessions. While
many studies have attempted to compare the liquidity of these two models, additional …
many studies have attempted to compare the liquidity of these two models, additional …
Automated market makers
M Pourpouneh, K Nielsen, O Ross - 2020 - econstor.eu
A new type of Automated Market Makers (AMMs) powered by Blockchain technology keep
liquidity on-chain and offer transparent price mechanisms. This innovation is a significant …
liquidity on-chain and offer transparent price mechanisms. This innovation is a significant …
Intentional access delays, market quality, and price discovery: Evidence from IEX becoming an exchange
This paper exploits the staggered securities phase-in when the Investors Exchange (IEX)
becomes a national securities exchange to study the effects of intentional access delays on …
becomes a national securities exchange to study the effects of intentional access delays on …