On Frequent Batch Auctions for Stocks
研究发现股票频繁批量拍卖能减轻股价暴跌的严重程度，一分钟间隔的拍卖效果显著，但该机制尚未普及，需进一步实验探究原因。
Abstract 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 trades and prices. Increasing the time interval between auctions to one minute significantly reduces the severity stock price crashes. In spite of this and other advantages pointed out in the literature, frequent batch auctions have not caught on. There is a need for carefully designed market experiments to understand why and what aspect of reality academic research may be missing.