of the FBA design removes the inefficiency by allowing traders to submit orders conditional on auction excess demand. …

data. We use machine learning to identify five types of algorithmic imprints that hinder the processing of auction …

Faster trading improves liquidity in periodic call auction markets, in contrast to continuous-timemarkets. We build a … the likelihood that a single HFT arrives inany given auction and subsequently acts as a monopolist on information. Higher … improving liquidity. We find that faster trading and longer auction intervalsare substitute instruments to reduce bid …

-frequency trading. We explain how IEX differs from traditional continuous double auction markets and present summary data on IEX … of the continuous double auction. The model predicts that IEX will generally improve price efficiency and lower …

equilibrium model of this exchange design as a modification of the standard continuous double auction market format. The model …

; Double Auction …

By reviewing the current Xetra auction price mechanism and analyzing its economic properties, we discover that Xetra … auction price is generically non market-clearing and that only limit prices are considered as Xetra auction price, which … prevents a market-clearing price but not a limit price from being Xetra auction price even when this situation exists in the …