Call Markets with Adaptive Clearing Intervals

Buhong Liu, Maria Polukarov, Carmine Ventre, Lingbo Li, Leslie Kanthan

Research output: Chapter in Book/Report/Conference proceedingConference paperpeer-review

5 Citations (Scopus)


Trading mechanisms play a fundamental role in the health of financial markets. For example, it is believed that continuous double auctions constitute fertile soil for predatory behaviour and toxic order flows. To this end, frequent call markets have been proposed as an alternative design choice to address the latency arbitrage opportunities built in those markets. This paper studies the extent to which adaptive rules to define the length of the clearing intervals affect the performance of frequent call markets.

Original languageEnglish
Title of host publication20th International Conference on Autonomous Agents and Multiagent Systems, AAMAS 2021
Number of pages3
ISBN (Electronic)9781713832621
Publication statusPublished - 19 Apr 2021

Publication series

NameProceedings of the International Joint Conference on Autonomous Agents and Multiagent Systems, AAMAS
ISSN (Print)1548-8403
ISSN (Electronic)1558-2914


Dive into the research topics of 'Call Markets with Adaptive Clearing Intervals'. Together they form a unique fingerprint.

Cite this