TY - JOUR
T1 - Insights on the Statistics and Market Behavior of Frequent Batch Auctions
AU - Alves, Thiago W.
AU - Florescu, Ionuţ
AU - Bozdog, Dragoş
N1 - Publisher Copyright:
© 2023 by the authors.
PY - 2023/3
Y1 - 2023/3
N2 - This paper extends previous research performed with the SHIFT financial market simulation platform. In our previous work, we show how this order-driven, distributed asynchronous, and multi-asset simulated environment is capable of reproducing known stylized facts of real continuous double auction financial markets. Using the platform, we study a pricing mechanism based on frequent batch auctions (FBA) proposed by a group of researchers from University of Chicago. We demonstrate our simulator’s capability as an environment to experiment with potential rule changes. We present the first side-by-side comparison of frequent batch auctions with a continuous double auction. We show that FBA is superior in terms of market quality measures but we also discover a potential problem in the technical implementation of FBA.
AB - This paper extends previous research performed with the SHIFT financial market simulation platform. In our previous work, we show how this order-driven, distributed asynchronous, and multi-asset simulated environment is capable of reproducing known stylized facts of real continuous double auction financial markets. Using the platform, we study a pricing mechanism based on frequent batch auctions (FBA) proposed by a group of researchers from University of Chicago. We demonstrate our simulator’s capability as an environment to experiment with potential rule changes. We present the first side-by-side comparison of frequent batch auctions with a continuous double auction. We show that FBA is superior in terms of market quality measures but we also discover a potential problem in the technical implementation of FBA.
KW - continuous double auctions
KW - financial engineering
KW - frequent batch auctions
KW - high-frequency trading
KW - market microstructure
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U2 - 10.3390/math11051223
DO - 10.3390/math11051223
M3 - Article
AN - SCOPUS:85149887466
VL - 11
JO - Mathematics
JF - Mathematics
IS - 5
M1 - 1223
ER -