Call Markets With Adaptive Clearing Intervals

Liu, B. , Polukarov, M., Ventre, C., Li, L. and Kanthan, L. (2021) Call Markets With Adaptive Clearing Intervals. In: 20th International Conference on Autonomous Agents and MultiAgent Systems (AAMAS '21), 3-7 May 2021, pp. 1587-1589. ISBN 9781450383073

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Trading mechanisms play a fundamental role in the health of financial markets. For example, it is believed that continuous double auctions constitute fertile soil for predatory behaviour and toxic order flows. To this end, frequent call markets have been proposed as an alternative design choice to address the latency arbitrage opportunities built in those markets. This paper studies the extent to which adaptive rules to define the length of the clearing intervals affect the performance of frequent call markets.

Item Type:Conference Proceedings
Glasgow Author(s) Enlighten ID:Liu, Mr Buhong
Authors: Liu, B., Polukarov, M., Ventre, C., Li, L., and Kanthan, L.
College/School:College of Social Sciences > Adam Smith Business School > Economics

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