On Frequent Batch Auctions for Stocks
[Tail Expectation and Imperfect Competition in Limit Order Book Markets]
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- Ravi Jagannathan, 2019. "On Frequent Batch Auctions for Stocks," NBER Working Papers 26341, National Bureau of Economic Research, Inc.
References listed on IDEAS
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Cited by:
- Luyao Zhang & Fan Zhang, 2023. "Understand Waiting Time in Transaction Fee Mechanism: An Interdisciplinary Perspective," Papers 2305.02552, arXiv.org.
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More about this item
Keywords
trading mechanisms; frequent batch auctions; continuous trading; limit order book; HFT; high-frequency trading; flash crash; liquidity;All these keywords.
JEL classification:
- G00 - Financial Economics - - General - - - General
- G1 - Financial Economics - - General Financial Markets
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- G2 - Financial Economics - - Financial Institutions and Services
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