Implementation Details for Frequent Batch Auctions: Slowing Down Markets to the Blink of an Eye
讨论了频繁批量拍卖的实施流程、适应市场碎片化和Reg NMS的修改方案，以及确定批量间隔的工程与经济考量，适合关注金融市场微观结构的读者。
Our recent research (Budish, Cramton, and Shim 2013) proposes frequent batch auctions - uniform-price sealed-bid double auctions conducted at frequent but discrete time intervals - as a market design alternative to continuous-time trading in financial markets. This short paper discusses the implementation details of frequent batch auctions. We outline the process flow for frequent batch auctions, discuss a modification to the market design that accommodates market fragmentation and Reg NMS, and discuss the engineering and economic considerations relevant for determining the batch interval. Open questions are discussed throughout.