Implementation Details for Frequent Batch Auctions: Slowing Down Markets to the Blink of an Eye

2014 ◽  
Vol 104 (5) ◽  
pp. 418-424 ◽  
Author(s):  
Eric Budish ◽  
Peter Cramton ◽  
John Shim
Keyword(s):  
Financial Markets ◽  
Market Design ◽  
Short Paper ◽  
Time Intervals ◽  
Double Auctions ◽  
Slowing Down ◽  
Open Questions ◽  
Sealed Bid ◽  
Market Fragmentation ◽  
Economic Considerations

Our recent research (Budish, Cramton, and Shim 2013) proposes frequent batch auctions - uniform-price sealed-bid double auctions conducted at frequent but discrete time intervals - as a market design alternative to continuous-time trading in financial markets. This short paper discusses the implementation details of frequent batch auctions. We outline the process flow for frequent batch auctions, discuss a modification to the market design that accommodates market fragmentation and Reg NMS, and discuss the engineering and economic considerations relevant for determining the batch interval. Open questions are discussed throughout.

Optimality Versus Practicality in Market Design: A Comparison of Two Double Auctions

2011 ◽  
Author(s):  
Mark A. Satterthwaite ◽  
Steven R. Williams ◽  
Konstantinos E. Zachariadis
Keyword(s):  
Market Design ◽  
Double Auctions

MEASURING SHOCK IN FINANCIAL MARKETS

2000 ◽  
Vol 03 (03) ◽  
pp. 347-355 ◽  
Author(s):  
GILLES O. ZUMBACH ◽  
MICHEL M. DACOROGNA ◽  
JØRGEN L. OLSEN ◽  
RICHARD B. OLSEN
Keyword(s):  
Financial Markets ◽  
High Frequency ◽  
Foreign Exchange Market ◽  
Exchange Market ◽  
Time Intervals ◽  
Event Scale ◽  
Time Horizons ◽  
Richter Scale ◽  
Market Shocks ◽  
Short Time

Analogous to the Richter scale for earthquakes, we introduce the Scale of Market Shocks (SMS), an "event" scale to quantify the size of shocks in financial markets. It is based on price volatilities and computed by integrating volatilities over time horizons ranging from 1 hour to 42 days. The SMS is computed using quality high frequency market data and can be constructed for any market. We compute the SMS for the foreign exchange market. For two major FX rates, we study the relation between SMS peaks and major "world events". We measure also the correlation between the Scale of Market Shocks index and the size of the subsequent price movements and show a high correlation for short time intervals.

Fractal Properties of Financial Assets and Forcasting Financial Crisis

2018 ◽  
pp. 23-41 ◽  
Author(s):  
Inna Nekrasova ◽  
Oxana Karnaukhova ◽  
Oleg Sviridov
Keyword(s):  
Fractal Dimension ◽  
Financial Markets ◽  
Future Development ◽  
Small Time ◽  
Practical Significance ◽  
Financial Assets ◽  
Time Intervals ◽  
Price Fluctuations ◽  
Fractal Properties ◽  
Fractal Index

The chapter is aimed at identification of criteria to select financial assets for investment; observing price fluctuations at small time intervals (up to one week) as possible predictors of the future of a significant increase in the price fluctuations amplitude; determining a fractal dimension of the financial markets on the basis of R/S-analysis; constructing a fractal index indicator to identify a bifurcation point, which gives birth to a possibility of crisis phenomena in economy. Therefore, the practical significance of the chapter lies in the idea of equipping academics and practitioners with new methods and tools for analysis and forecasting future development and dynamics of the financial markets.

Sequential auction based parking space sharing and pricing mechanism in the era of sharing economy

2019 ◽  
Vol 119 (8) ◽  
pp. 1734-1747 ◽  
Author(s):  
Bing Qing Tan ◽  
Su Xiu Xu ◽  
Ray Zhong ◽  
Meng Cheng ◽  
Kai Kang
Keyword(s):  
Market Design ◽  
Parking Space ◽  
Content Type ◽  
Auction Mechanism ◽  
Management Platform ◽  
Sealed Bid ◽  
Sequential Auction ◽  
Auction Mechanisms ◽  
Design Mechanism ◽  
The Impact

Purpose The purpose of this paper is to design a parking space management platform to alleviate the parking problem and a two-stage solution for sharing and allocating parking spaces. Design/methodology/approach The market design mechanism and auction mechanism are integrated to solve the problem of parking space sharing and allocation. In the first stage, the market design mechanism with two rules is applied for making the good use of idle parking spaces. In the second stage, two sequential auction mechanisms are designed by extending first/second-price sealed bid auction mechanism to allocate both private and public parking spaces, which are received in previous stage and owned by the platform. Two stages are connected through a forecasted price which is calculated through the exponential smoothing method. Findings First, we prove three important properties of the proposed sequential auction mechanisms, namely, incentive compatibility, revenue equivalence and individual rationality. Second, a simulation study is used to verify the effectiveness of the mechanisms through numerical analysis. The impact of the system on three parts, namely, agents (private parking space suppliers), bidders (parking space customers) and the platform, is examined. Third, the results show that the sharing mechanism with monetrary incentive will attract a number of agents to join in the platform. The bidders are also able to obtain considerable utility, as compared with the (average) market parking fees. The platform can thus effectively allocate parking spaces with reasonable prices. Originality/value This paper combines the classical sequential auction mechanisms with the market design mechanism for the parking space sharing and allocation problem. The modeling and analysis method can also be used to address the similar allocation and pricing problems of other resources like bicycle sharing.

Towards Multi‐Attribute Double Auctions for Financial Markets

2006 ◽  
Vol 16 (2) ◽  
pp. 130-139 ◽  
Author(s):  
Henner Gimpel ◽  
Juho Mäkiö
Keyword(s):  
Financial Markets ◽  
Double Auctions

scholarly journals High‑Frequency Trading in the Modern Market Microstructure: Opportunities and Threats

2019 ◽  
Vol 7 (3) ◽  
pp. 25-36
Author(s):  
M. Zharikov
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Market Microstructure ◽  
High Frequency ◽  
Financial Engineering ◽  
Market Design ◽  
High Frequency Trading ◽  
Optimal Trading ◽  
Trading Market ◽  
Long Run

The article covers some ideas about the research on high-frequency trading and financial market design. The topic is time-relevant because today there exists a need to convince traders that there is a simple structural floor in the way that the financial markets are designed. The article reveals the significance of trading on the floor that the foremost fundamental constraint is limited time. The author proves that time on the financial market feels, to some extent, infinite when someone counts it in millions of seconds, but time is nevertheless finite. The author then gets into the actual research on high-frequency trading in the financial market design. The motivation for this project is to analyse activity among high-frequency trading firms by which investments of substantial sums of money are understood as economically trivial speed improvements. The theoretical significance of the research’s outcomes lies in outlaying the systemic approach to dealing with stochastic control problems in the context of financial engineering. The practical relevance of the paper lies in the mechanism that allows solving problems surrounding optimal trading, market microstructure, high-frequency trading, etc. The article concludes by talking about the issues in the modern electronic markets and by giving lessons to dealing with them in the long run.

Multistage Sealed-bid κ-Double-Auctions: An Experimental Study of Bilateral Bargaining

2004 ◽  
pp. 209-234
Author(s):  
James E. Parco ◽  
Amnon Rapoport ◽  
Darryl A. Seale ◽  
William E. Stein ◽  
Rami Zwick
Keyword(s):  
Experimental Study ◽  
Bilateral Bargaining ◽  
Double Auctions ◽  
Sealed Bid

scholarly journals Testing for causality in variance for world stock exchange indexes

2011 ◽  
Vol 2 (4) ◽  
pp. 5-27
Author(s):  
Małgorzata Madrak-Grochowska ◽  
Mirosława Żurek
Keyword(s):  
Financial Markets ◽  
Capital Markets ◽  
Stock Exchange ◽  
Garch Models ◽  
Time Intervals ◽  
Financial Variables ◽  
Arch Effect ◽  
Technological Advances ◽  
World Markets ◽  
The World

The main aim of this study was to determine the nature of the relations between selected stock exchange indexes in the world (ATX, DAX, NASDAQ, NIKKEI, FTSE and WIG20), with special emphasis on the causality in variance. Due to the characteristics of financial variables (the daily closing rates of analyzed indexes) such as: focusing on volatility, volatility of the conditional variance, skew and leptokurtic, GARCH models and Cheung-Ng test were used to study the relations between selected capital markets. First part of the paper contains a brief theoretical introduction about GARCH model and the description of the Cheung-Ng test. In the next part were the analyzed time series described, including the testing for ARCH effect. The last and the most comprehensive empirical part contains the results of tests for different combinations of three levels of significance: α = 0.1, α = 0.05 and α = 0.01 and for time intervals: m = 1, m = 3 and m = 5. The results of analysis demonstrate that selected world's capital markets are strongly linked with each other, and the volatility of one financial series has an impact on others. It may be explained by the increasing integration and liberalization of financial markets, globalization and technological advances in information flow. The results of Cheung-Ng test indicated that among the analyzed indexes of stock markets the greatest impact on the world markets has the NASDAQ index and the lowest – DAX, FTSE and WIG20. In addition, tests showed that the most vulnerable to foreign influence is the NIKKEI index, and the most independent – NASDAQ.

scholarly journals The Activation of Deglobalization Processes and System-Forming Role of High-Tech Companies in the Modern Market Fragmentation Processes

2020 ◽  
Vol 10 (513) ◽  
pp. 81-88
Author(s):  
O. B. Mnykh ◽  
◽  
V. T. Lozynskyj ◽  
V. P. Dalyk ◽  
◽  
...  
Keyword(s):  
Financial Markets ◽  
Structural Changes ◽  
Political Influence ◽  
Digital Economy ◽  
High Tech ◽  
Foreign Direct Investments ◽  
Global Business ◽  
Subject Analysis ◽  
Market Fragmentation

The search for answers to modern challenges to both the global and the national economy is reflected in the focus of scientific and applied researches, their object and subject analysis. Such a search requires studying of qualitative changes in the processes of globalization and their combination with the origin in different countries of the trend of deglobalization. This trend is strengthened by the political influence of the countries with the use of policy of economic and technological protectionism, sophisticated rules of the game and instruments for gaining market advantages in both high-tech and financial markets. The present scientific research is aimed at analyzing the reasons for activating the structural policy of deglobalization, building up a related contentual model. The main reasons for accumulation of corporate debts by giants of global business are defined and their dual role in the development of both industrial and financial markets is reflected, the interaction between which is intensifying in the digital economy and with the emergence of new sources of crisis. The characterization of the gaps between the volume of exports and imports, the coefficient of coverage by exports of imports, the value of which depends on positive structural changes based on the processes of deglobalization and innovative activity of high-tech markets, are provided. Dynamic trends were built up to reflect the interdependence of volumes of foreign direct investments and the level of openness of the Ukrainian economy. The relationships of fragmentation factors of industrial and financial markets under the influence of the growing role of high-tech companies in the implementation of the policy of economic protectionism are shown. A contentual model of diffusion of threats to the development of high-tech markets and their consequences in the new environment of forking out material and digital economy is built up, which deepens understanding of the reasons for the combination of globalization and deglobalization processes both in the world and in individual countries.

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