Frequent Batch Auctions, Insights on the Statistics and Market Behavior Using the Shift System

This paper extends previous research done with the SHIFT financial market simulation platformAlves et al. (2020). In the cited work, we show how this order-driven, distributed asynchronous andmulti-asset simulated environment is capable of reproducing known stylized facts of real continuousdouble auction financial markets. Using the platform we study a pricing mechanism based onfrequent batch auctions (FBA) Budish et al. (2015). We demonstrate our simulator’s capability as anenvironment to experiment with potential rule changes. We present the first side by side comparisonof frequent batch auctions with continuous double auction. We show that FBA is superior in termsof market quality measures but we also discover a potential problem in the technical implementationof FBA