Yes. There is actually some research into this idea where markets would effectively conduct rolling auctions, but I'm struggling to find it at the moment becau

Yes. There is actually some research into this idea where markets would effectively conduct rolling auctions, but I'm struggling to find it at the moment because I'm in a work meeting. Iirc the evidence suggests this would reduce market dislocations when news comes out etc so would generally improve price discovery. Markets already conduct an opening and closing auctions and conduct an auction to resume after a volatility break (what people often call a "circuit breaker" in the press although it's a volatility break) so this would not be as much of a technological lift to implement this as it may appear. How it works from a practical perspective is the exchange suspends matching for a period (so say 30mins) but order placement still works. Then when the market comes out of suspension a single print runs to uncross the order book, and everyone who submitted an order which matched gets executed at a single price. So as you say timing arbitrages of the current kind are effectively impossible. So in the case of a rolling auction you would do that print and then immediately suspend matching again and do another auction. Here's some background on how auctions work in financial markets in general but it's not the specific paper I was referring to https://www.princeton.edu/~jkastl/auctions_finance.pdf https://www.princeton.edu/~jkastl/auctions_finance.pdf