> We argue that the high-frequency trading arms race is a symptom of a basic flaw in the design of modern financial exchanges: continuous-time trading. That is,

> We argue that the high-frequency trading arms race is a symptom of a basic flaw in the design of modern financial exchanges: continuous-time trading. That is, under the continuous limit order book market design that is currently predominant, it is possible to buy or sell stocks or other exchange-traded financial instruments at any instant during the trading day. We propose a simple alternative: discrete-time trading. More precisely, we propose a market design in which the trading day is divided into extremely frequent but discrete time intervals; to fix ideas, say, 100 milliseconds. All trade requests received during the same interval are treated as having arrived at the same (discrete) time. Then, at the end of each interval, all outstanding orders are processed in batch, using a uniform-price auction, as opposed to the serial processing that occurs in the continuous market. We call this market design frequent batch auctions.