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Implementation Details for Frequent Batch Auctions: Slowing Down Markets to the Blink of an Eye
3 references·6 citing·35 second hop
Implementation Details for Frequent Batch Auctions: Slowing Down Markets to the Blink of an Eye (2014)Implementation Details for Frequent Batch…The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)The High-Frequency Trading Ar…THE THEORY OF INTERSTELLAR TRADE (2010)THE THEORY OF INTERSTELLAR TR…The Economist as Engineer: Game Theory, Experimentation, and Computation as Tools for Design Economics (2002)The Economist as Engineer: Ga…Competition and Information Leakage (2023)Competition and Information L…Cost functions are nonconvex in the outputs when the technology is nonconvex: convexification is not harmless (2021)Cost functions are nonconvex …On the Effects of Continuous Trading (2020)On the Effects of Continuous …Experiments in high-frequency trading: comparing two market institutions (2019)Experiments in high-frequency…A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies (2017)A Markov Model of a Limit Ord…Strategic Market Choice: Frequent Call Markets vs. Continuous Double Auctions for Fast and Slow Traders (2015)Strategic Market Choice: Freq…Some Problems in the Theory of Queues (1951)Public Regulation of the Securities Markets (1964)A switching self-exciting jump diffusion process for stock prices (2018)A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics (2021)Interregional and International Trade, by Bertil Ohlin (1934)Foundations of Economic Analysis (1948)Foundations of Economic Analysis. (1948)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Continuous Auctions and Insider Trading (1985)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)Trading and Arbitrage in Cryptocurrency Markets (2018)Machine behaviour (2019)COUNTERSPECULATION, AUCTIONS, AND COMPETITIVE SEALED TENDERS (1961)College Admissions and the Stability of Marriage (1962)Optimal Auction Design (1981)Pairwise kidney exchange (2005)The New York City High School Match (2005)The Combinatorial Assignment Problem: Approximate Competitive Equilibrium from Equal Incomes (2011)Allocative Efficiency of Markets with Zero-Intelligence Traders: Market as a Partial Substitute for Individual Rationality (1993)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Momentum Strategies (1996)Review of Economic Studies (2010)Subject pool recruitment procedures: organizing experiments with ORSEE (2015)Arbitrage bots in experimental asset markets (2022)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Inferring Trade Direction from Intraday Data (1991)Quantifying the High-Frequency Trading “Arms Race”: A Simple New Methodology and Estimates (2020)A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market? (2023)Market Liquidity (2023)Theory of Cost and Production Functions. (1972)Stochastic Frontier Analysis (2000)Theory of Cost and Production Functions (2015)The Economics of Information (1961)Strategic Information Transmission (1982)
this work references cited by second hop

References

  • 2002The Economist as Engineer: Game Theory, Experimentation, and Computation as Tools for Design Economics1,006 cited
  • 2013The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response886 cited
  • 2010THE THEORY OF INTERSTELLAR TRADE44 cited

Cited by

  • 2020On the Effects of Continuous Trading38 cited
  • 2021Cost functions are nonconvex in the outputs when the technology is nonconvex: convexification is not harmless31 cited
  • 2019Experiments in high-frequency trading: comparing two market institutions29 cited
  • 2017A Markov Model of a Limit Order Book: Thresholds, Recurrence, and Trading Strategies28 cited
  • 2015Strategic Market Choice: Frequent Call Markets vs. Continuous Double Auctions for Fast and Slow Traders25 cited
  • 2023Competition and Information Leakage20 cited

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