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hal.structure.identifier
dc.contributor.authorHaas, Marlene
hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorZoican, Marius Andrei
dc.date.accessioned2017-03-07T16:54:39Z
dc.date.available2017-03-07T16:54:39Z
dc.date.issued2016
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16299
dc.language.isoenen
dc.subjectmarket designen
dc.subjecthigh-frequency tradingen
dc.subjectbatch auction marketsen
dc.subjectliquidityen
dc.subjectadverse selectionen
dc.subjectD43en
dc.subjectD47en
dc.subjectG10en
dc.subjectG14en
dc.subject.ddc658.8en
dc.subject.classificationjelM.M3.M31en
dc.subject.classificationjelG.G1.G14en
dc.subject.classificationjelG.G1.G10en
dc.subject.classificationjelD.D4.D47en
dc.subject.classificationjelD.D4.D43en
dc.titleBeyond the Frequency Wall: Speed and Liquidity on Batch Auction Marketsen
dc.typeCommunication / Conférence
dc.description.abstractenFrequent batch auction (FBA) markets do not necessarily improve liquidity relative to continuous-time trading. HFTs submit quotes that become stale if the market clears before new information becomes public, and may be sniped by other privately-informed HFTs. Less frequent auctions enhance learning by allowing for more public news: liquidity improves. For infrequent enough auctions, a frequency "wall" emerges as lower adverse selection is offset by lower liquidity demand by impatient traders. Beyond this "wall," longer auction intervals do not improve liquidity anymore. However, higher HFT speed stimulates price competition between arbitrageurs, allowing for a lower spread.en
dc.identifier.urlsitehttps://papers.ssrn.com/sol3/papers2.cfm?abstract_id=2738071en
dc.subject.ddclabelMarketingen
dc.relation.conftitleNYU Stern Market Microstructure Meetingen
dc.relation.confdate2016-05
dc.relation.confcityNew York Cityen
dc.relation.confcountryUnited Statesen
dc.relation.forthcomingnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewednonen
dc.relation.Isversionofjnlpeerreviewednonen
dc.date.updated2017-03-07T09:53:59Z
hal.identifierhal-01484805*
hal.version1*
hal.author.functionaut
hal.author.functionaut


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