2018
DOI: 10.2139/ssrn.3154070
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Experiments in High-Frequency Trading: Testing the Frequent Batch Auction

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Cited by 3 publications
(6 citation statements)
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“…This section describes how our architecture implements Aldrich and López Vargas (2018) and more general experiments. The experiment of Aldrich and López Vargas (2018) was implemented with software that inspired the architecture we present in this paper. One of the important differences is that their software is not based on oTree.…”
Section: An Implementationmentioning
confidence: 99%
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“…This section describes how our architecture implements Aldrich and López Vargas (2018) and more general experiments. The experiment of Aldrich and López Vargas (2018) was implemented with software that inspired the architecture we present in this paper. One of the important differences is that their software is not based on oTree.…”
Section: An Implementationmentioning
confidence: 99%
“…Although our framework can implement more general experiments, we now describe how it replicates the environment in Aldrich and López Vargas (2018). That paper compares two financial market formats, the Continuous Double Auction (CDA) and the Frequent Batch Auction (FBA), in the presence of high-frequency trading.…”
Section: An Implementationmentioning
confidence: 99%
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