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.
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