The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response
The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response
Coauthors: Peter Cramton and John ShimThe Quarterly Journal of Economics, (2015): 130, no. 4, 1547-1621. [PDF]
Abstract
Awards
Winner- 2014 AQR Insight Award
Winner- 2015 Utah WFC Best Paper Award
Appendices
Appendix
Online Appendices with Peter Cramton and John Shim. The Quarterly Journal of Economics 130, no. 4 (2015): 1547-1621.. [PDF]Policy Discussion
SEC Chair White Speech
Enhancing Our Equity Market Structure, Speech, SEC Chair Mary Jo White, June 5, 2014. [PDF]New York Attorney General Speech
Remarks on High-Frequency Trading & Insider Trading 2.0, New York Law School Panel on “Insider Trading 2.0 — A New Initiative to Crack Down on Predatory Practices,” March 18, 2014. [PDF]Policy Writing
Response to ESMA’s Call for Evidence re Periodic Auctions
Response to ESMA’s Call for Evidence: “Periodic Auctions for Equity Instruments” (ESMA70-156-785), January 2019.[PDF] [All Related Material]
Response to RFI on the Evolution of the U.S. Treasury Market Structure
Response to RFI on the Evolution of the U.S. Treasury Market Structure, Re: Notice Seeking Public Comment on the Evolution of the Treasury Market Structure (Docket No. TREAS-DO-2015-0013), April 2016.[PDF] [All Related Material]
Comment Letter on Proposed Commission Interpretation of One Millisecond as De Minimis
Re: Proposed Commission Interpretation Regarding Automated Quotations Under Regulation NMS (Release No. 34-77407; File No. S7-03-16), April 2016.[PDF] [All Related Material]
IEX Comment Letter
Re: Investors’ Exchange LLC Form 1 Application (Release No. 34-75925; File No. 10-222), February 2016.[PDF] [All Related Material]
CFTC Comment Letter
Re: CFTC Concept Release — Risk Controls and System Safeguards for Automated Trading Environments, RIN 3038-AD52, February 2014.[PDF] [All Related Material]
Press Coverage
Slowing Down the Stock Market
Bloomberg Editorial, Editorial Board, Jun 18, 2014 [PDF]Everything You Need to Know About High-Frequency Trading
The Atlantic, Matthew O’Brien, Apr 11, 2014 [PDF]Professor Proposes Slowing Down Automated Trading
Chicago Tribune, Ameet Sachdev, Mar 30, 2014 [PDF]Declawing Speed Traders Is Goal of Stock Market Revamp Proposal
Bloomberg, Sam Mamudi, Feb 19, 2014 [PDF]The Need for Less Speed
Financial Times, Tim Harford, Jul 06, 2013 [PDF]Panel Discussion
CFTC’s Technology Advisory Committee Meeting
Commody Futures Trading Commission, February 2014.Is high frequency trading good for financial markets?
Chicago Booth Review, October 2013.Related Works
Implementation Details for Frequent Batch Auctions: Slowing Down Markets to the Blink of an Eye
Peter Cramton and John ShimAmerican Economic Review: Papers & Proceedings, (2014): 104, no. 5, 418-424. [PDF]
Abstract
Our recent research (Budish, Cramton, and Shim 2013) proposes frequent batch auctions—uniform-price sealed-bid double auctions conducted at frequent but discrete time intervals—as a market design alternative to continuous-time trading in financial markets. This short paper discusses the implementation details of frequent batch auctions. We outline the process flow for frequent batch auctions, discuss a modification to the market design that accommodates market fragmentation and Reg NMS, and discuss the engineering and economic considerations relevant for determining the batch interval. Open questions are discussed throughout.