Market mechanism refinement on a continuous limit order book venue-Reference-Cited by-同舟云学术

Market mechanism refinement on a continuous limit order book venue

Published:2017-09-25 Issue:1 Volume:16 Page:72-77
ISSN:1551-9031
Container-title:ACM SIGecom Exchanges
language:en
Short-container-title:SIGecom Exch.

Author:

Melton Hayden¹

Affiliation:

1. Deakin University

Abstract

This letter describes an exercise in market mechanism refinement that was recently undertaken on a major electronic trading venue: Thomson Reuters Matching. The exercise sought to address problems associated with continuous markets that have been described in recent literature. To this end, the design of the refinement is described, and its consequences are discussed.

Publisher

Association for Computing Machinery (ACM)

Link

https://dl.acm.org/doi/pdf/10.1145/3144722.3144729

Reference16 articles.

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3. From Walras’ auctioneer to continuous time double auctions: a general dynamic theory of supply and demand

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