The High Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response
November 7, 2013
Eric Budish presented The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response(co-authored with Peter Cramton and John Shim). The paper seeks to demonstrate that the welfare of traders could be improved if trading occurred at frequent (once per second) uniform price auctions rather than in a continuous market. It also suggests that such an architecture would reduce the incentive for engaging in a technological arms race, and would encourage competition on price rather than time.
An Empirical Analysis of Market Segmentation on U.S. Equities Markets
October 3, 2013
Frank Hatheway, Chief Economist and Vice President of NASDAQ OMX Group, Inc. presented to the Program Fellows on his current paper (co-authored with Amy Kwan and Hui Zheng), which examines the impact of trading in markets that are partially exempt from National Market System requirements on equity market quality.
Shall We Haggle in Pennies at the Speed of Light or in Nickels in the Dark? How Minimum Price Variation Regulates High Frequency Trading and Dark Liquidity
April 4, 2013
Robert Bartlett, Professor of Law at Berkeley Law, University of California, presented to the Program Fellows on his current work-in-progress (co-authored with Justin McCrary, an economist with Berkeley's Department of Economics) relating to relationships between the minimum price variation at which exchange-listed equity securities may be traded, on the one hand, and both high-frequency trading and off-exchange trading, on the other.