OpenAlex · The Quarterly Journal of Economics · 2015 · cites 893
Abstract The high-frequency trading arms race is a symptom of flawed market design. Instead of the continuous limit order book market design that is currently predominant, we argue that financial exchanges should use frequent batch auctions: uniform price double auctions conducted, for example, every tenth of a second. That is, time should be treated as discrete instead of continuous, and orders should be processed i…
Eric Budish, Peter Cramton, John J. Shim
arXiv · arXiv · 2026
We address the problem of executing large client orders in continuous double-auction markets under time and liquidity constraints. We propose a model predictive control (MPC) framework that balances three competing objectives: order completion, market impact, and opportunity cost. Our algorithm is guided by a trading schedule (such as time-weighted average price or volume-weighted average price) but allows for deviat…
Thomas P. McAuliffe, Samuel Liew, Yuchao Li, Andrey Ushenin, Chihang Wang