A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market?

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Financial Market Design

This 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.