Beyond the Frequency Wall: Speed and Liquidity on Batch Auction Markets
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Cited by:
- Jun Aoyagi, 2019. "Strategic Speed Choice by High-Frequency Traders under Speed Bumps," ISER Discussion Paper 1050, Institute of Social and Economic Research, Osaka University.
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More about this item
Keywords
market design; high-frequency trading; batch auction markets; liquidity; adverse selection; D43; D47; G10; G14;All these keywords.
JEL classification:
- D43 - Microeconomics - - Market Structure, Pricing, and Design - - - Oligopoly and Other Forms of Market Imperfection
- D47 - Microeconomics - - Market Structure, Pricing, and Design - - - Market Design
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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