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 …

Computerized and high‐frequency trading

MA Goldstein, P Kumar, FC Graves - Financial Review, 2014 - Wiley Online Library
The use of computers to execute trades, often with very low latency, has increased over time,
resulting in a variety of computer algorithms executing electronically targeted trading …

High-frequency quoting: Short-term volatility in bids and offers

J Hasbrouck - Journal of Financial and Quantitative Analysis, 2018 - cambridge.org
At subsecond horizons, bids and offers in US equity markets are more volatile than what
would be implied by long-term fundamentals. To assess costs and consequences, this paper …

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 …

Deriving inflation expectations from nominal and inflation-indexed Treasury yields

BP Sack - Available at SSRN 236398, 2000 - papers.ssrn.com
This paper derives a measure of inflation compensation from the yields of a Treasury
inflation-indexed security and a portfolio of STRIPS that has similar liquidity and duration as …

High‐frequency trading order cancellations and market quality: Is stricter regulation the answer?

V Manahov - International Journal of Finance & Economics, 2021 - Wiley Online Library
High‐frequency traders (HFTs) frequently submit, cancel and resubmit trading orders in an
attempt to stay in front of the queue. This study shows that HFTs cancel a large number of …

Technological progress and rent seeking

V Glode, G Ordonez - Jacobs Levy Equity Management Center for …, 2023 - papers.ssrn.com
We model firms' allocation of resources between surplus-creating (aka, productive) and
surplus-appropriating (aka, rent-seeking) activities. We show that industry-wide …

Empirical mechanism design for optimizing clearing interval in frequent call markets

E Brinkman, MP Wellman - Proceedings of the 2017 ACM Conference …, 2017 - dl.acm.org
Several recent authors have advocated for financial markets to move from continuous
clearing to discrete or batched clearing, as a way to defeat the latency arms race: the never …

Price discovery: The economic function of a stock exchange

NS Alan, RA Schwartz - Journal of Portfolio Management, 2013 - search.proquest.com
This article defines an exchange according to its primary function: establishing shares'
trading prices. After establishing the public goods property of an exchange-produced price …

A note on the relationship between high-frequency trading and latency arbitrage

V Manahov - International review of financial analysis, 2016 - Elsevier
We develop three artificial stock markets populated with two types of market participants—
HFT scalpers and aggressive high frequency traders (HFTrs). We simulate real-life trading at …