A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market?
/in Featured Recent, financial market design, patents and innovation, published papers, Research Papers, Research PapersFinancial Market Design
/in Research Area, Research Papers, Research Policy, Research talksThis page collects my work related to financial market design. My best known conceptual ideas in this area are frequent batch auctions and sniping. Frequent batch auctions is a market design alternative to continuous trading on financial exchanges. Mathematically, instead of trading in continuous time as a serial process — which means that being a nanosecond faster is treated as economically meaningful by the market design — trade is in discrete time as a batch process, using auctions. Sniping refers to arbitrage that is primarily a contest in speed, also known as picking off stale quotes. Mathematically, sniping refers to arbitrage rents that arise from symmetric public information — information that is broadly disseminated to the whole market at the same time — as distinct from asymmetric private information.
Quantifying the High-Frequency Trading “Arms Race”
/in Featured Recent, financial market design, published papers, Research PapersMarket Design
/in course allocation, financial market design, published papers, Survey Articles, ticket marketsHow High-Frequency Traders Are Costing the Rest of Us Billions of Dollars Each Year
/in financial market design, Press CoverageQuantifying the High-Frequency Trading ‘Arms Race’: A new methodology and estimates
/in public talks, Research talks, VideoResponse to ESMA’s Call for Evidence re Periodic Auctions
/in financial market design, Policy Writing, policy writing, Research PolicySEC Commissioner Calls for Regulators to Bolster Market Oversight
/in financial market design, Press CoverageEric Budish
Paul G. McDermott Professor of Economics and Entrepreneurship
Centel Foundation/Robert P. Reuss Faculty Scholar