Frequent Batch Auctions vs Continuous Time Auctions Under Order Cancellation and Maker-Taker Fee

We investigate the consequences of different market designs and policies on market quality in high-frequency markets. An extensible theoretical framework is proposed to consider the optimal strategies of different market agents and the market equilibrium under various market conditions. The frequent batch auctions increase market liquidity and volatility compared with continuous-time auctions. Order cancellation ban harms market quality while the taker fee is beneficial. Finally, we address that the comprehensive effect of high-frequency traders is positive, so it is vital to reap their benefits while minimizing their harms