| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26341 |
| 来源ID | Working Paper 26341 |
| On Frequent Batch Auctions for Stocks | |
| Ravi Jagannathan | |
| 发表日期 | 2019-10-07 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | I show that frequent batch auctions for stocks have the potential to reduce the severity of stock price crashes when they occur. For a given sequence of orders from a continuous electronic limit order book market, matching orders using one second apart batch auctions results in nearly the same trades and prices. Increasing the time interval between auctions to one minute significantly reduces the severity stock price crashes. In spite of this and other advantages pointed out in the literature, frequent batch auctions have not caught on. There is a need for carefully designed market experiments to understand why, and what aspect of reality academic research may be missing. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w26341 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/584012 |
| 推荐引用方式 GB/T 7714 | Ravi Jagannathan. On Frequent Batch Auctions for Stocks. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w26341.pdf（1092KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Ravi Jagannathan]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Ravi Jagannathan]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Ravi Jagannathan]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
