This dissertation investigates the emergence of the Frequent Batch Auction (FBA) as a new auction mechanism for financial exchanges. It aims to explore the performance of academically established algorithms, previously examined in Continuous Double Auctions, when simulated in an FBA. To achieve...

I show that frequent batch auctions for stocks have the potential to reduce the severity of stock price crashes when they occur. For a given sequence of orders from a continuous electronic limit order book market, matching orders using one second apart batch auctions results in nearly the same...

I show that frequent batch auctions for stocks have the potential to reduce the severity of stock price crashes when they occur. For a given sequence of orders from a continuous electronic limit order book market, matching orders using one second apart batch auctions results in nearly the same...