To batch or not to batch? The release of USDA crop reports
研究了美国农业部作物报告从休市分批拍卖改为实时发布后，对市场波动、流动性和价格发现的影响，发现缩短分批拍卖时间可兼顾效率与稳定，对新兴期货市场有参考价值。
Abstract In 2012 USDA began releasing crop reports during trading hours. Prior reports were released during a trading halt, and in the electronic trading platform traders competed in a batch auction for 2 h. Compared to the current real‐time release policy, the batch auction reduced speed advantage, lowered market volatility, and improved liquidity around report releases, at the cost of delaying price discovery. The results reported here support the argument that the development of a shorter batch auction could improve on the lengthy price discovery process while maintaining the batch auction's other advantages. These findings are relevant to not only developed countries with well‐established exchanges and public information systems, but to developing countries who have recently launched or are planning to launch futures commodity markets.