2023
DOI: 10.3390/math11051223
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Insights on the Statistics and Market Behavior of Frequent Batch Auctions

Abstract: This paper extends previous research performed with the SHIFT financial market simulation platform. In our previous work, we show how this order-driven, distributed asynchronous, and multi-asset simulated environment is capable of reproducing known stylized facts of real continuous double auction financial markets. Using the platform, we study a pricing mechanism based on frequent batch auctions (FBA) proposed by a group of researchers from University of Chicago. We demonstrate our simulator’s capability as an… Show more

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