Call Markets with Adaptive Clearing Intervals

TY - CHAP

T1 - Call Markets with Adaptive Clearing Intervals

AU - Liu, Buhong

AU - Polukarov, Maria

AU - Ventre, Carmine

AU - Li, Lingbo

AU - Kanthan, Leslie

PY - 2021/4/19

Y1 - 2021/4/19

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=85112324721&partnerID=8YFLogxK

M3 - Conference paper

T3 - Proceedings of the International Joint Conference on Autonomous Agents and Multiagent Systems, AAMAS

SP - 1575

EP - 1577

BT - 20th International Conference on Autonomous Agents and Multiagent Systems, AAMAS 2021

ER -