Implementation Details for Frequent Batch Auctions: Slowing Down Markets to the Blink of an Eye
Eric Budish, Peter Cramton and John Shim ,
( 104 )
American Economic Review P&P

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.

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