Clearing time randomization and transaction fees for auction market design
研究周期性拍卖中战略交易者利用累积信息在最后时刻下单影响价格的问题，提出随机化清算时间和设计交易费用两种补救措施，并用Alphabet与Apple股票数据表明这些政策能促使交易者提前下单、提升拍卖效率。
Flaws of a continuous limit order book mechanism raise the question of whether a continuous trading session and a periodic auction session would bring better efficiency. This work wants to go further in designing a periodic auction when both a continuous market and a periodic auction market are available to traders. In a periodic auction, we show that a strategic trader could take advantage of the accumulated information available along the auction duration by arriving at the latest moment before the auction closes, increasing the price impact on the market. Such price impact moves the clearing price away from the efficient price and may disturb the efficiency of a periodic auction market. We thus propose and quantify the effect of two remedies to mitigate these flaws: randomizing the auction's closing time and optimally designing a transaction fees policy for both the strategic traders and other market participants. Our results show that these policies encourage a strategic trader to send their orders earlier to enhance the efficiency of the auction market, illustrated by data extracted from Alphabet and Apple stocks.