4 ms·
I'd love to see a stock market with a call auction every 15th min 24/7. It just doesn't make sense to have no trading at all during weekends and then claim that
by Yrlec 12y ago
I'd love to see a stock market with a call auction every 15th min 24/7. It just doesn't make sense to have no trading at all during weekends and then claim that sub-millisecond execution is necessary when the market is open. The risk for the market maker shouldn't be much higher but the resources required to provide liquidity are much lower (no need to hire lots of developers to optimize your code). I wouldn't be surprised if a market like that would have tighter spreads (since it's cheaper to act as a market maker) but better stability (since an algorithm screwing up can be stopped during the 15 min interval).
- kasey_junk 12y agoThere are actually academic findings that would make you think that is true. Unfortunately, those findings didn't take into account venue arbitrage, carry risk, or fees.
- Yrlec 12y agoInteresting! Do you have any link where I can read more about it?
- kasey_junk 12y agoSure: http://faculty.chicagobooth.edu/eric.budish/research/HFT-FrequentBatchAuctions.pdf http://faculty.chicagobooth.edu/eric.budish/research/HFT-Fre... Note that this doesn't deal with the distributed systems problems of multiple exchanges so would require a universal exchange monopoly (ie an impossible and unwanted condition).