Frequent Batch Auctions investigated by Agent-Based Model
Author:
Affiliation:
1. SPARX Asset Management Co. Ltd.,Tokyo,Japan
2. the University of Tokyo,School of Engineering,Tokyo,Japan
Publisher
IEEE
Link
http://xplorestaging.ieee.org/ielx7/10371369/10371409/10371708.pdf?arnumber=10371708
Reference15 articles.
1. Equity Trading in the 21st Century: An Update
2. High frequency trading and the complexity of the u.s. equities market (japanese only);Otsuka,2014
3. Review of the benefits of a continuous market vs. randomised stop auctions and of alternative priority rules (policy options 7 and 12);Farmer;Manuscript, Foresight, Government Office for Science,2012
4. The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response *
5. Too fast or too slow? Determining the optimal speed of financial markets
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