Experiments in high-frequency trading: comparing two market institutions
通过实验室金融市场实验，对比了频繁批量拍卖（FBA）和连续双向拍卖（CDA）两种机制在高频交易中的表现，发现FBA能减少掠夺性交易、降低延迟技术投资和交易成本，并稳定市场价差和流动性。
Abstract We implement a laboratory financial market where traders can access costly technology that reduces communication latency with a remote exchange. In this environment, we conduct a market design study on high-frequency trading: we contrast the performance of the newly proposed frequent batch auction (FBA) against the continuous double auction (CDA), which organizes trades in most exchanges worldwide. Our evidence suggests that, relative to the CDA, the FBA exhibits (1) less predatory trading behavior, (2) lower investments in low-latency communication technology, (3) lower transaction costs, and (4) lower volatility in market spreads and liquidity. We also find that transitory shocks in the environment have substantially greater impact on market dynamics in the CDA than in the FBA.