Detail práce

Comparison of continuous and frequent batch auctions

Autor: Mgr. Oskar Gottlieb
Rok: 2018 - letní
Vedoucí: RNDr. Martin Šmíd Ph.D.
Typ práce: Diplomová
Finance, finanční trhy a bankovnictví
Jazyk: Anglicky
Stránky: 84
Abstrakt: We simulate a fragmented market and study three types of agents and their
interactions in continuous trading and frequent-batch auctions. We model the
markets using the agent-based modeling approach. There are two exchanges on
which one asset is being traded by zero-intelligence (ZI) traders, market makers
and a latency arbitrageur. The former two agents are marked as slow traders,
the arbitrageur is a fast trader - fast trader has perfect information about the
market, slow traders are dependent on the (possibly lagged) NBBO information
provided by the regulator. Our main metric is the surplus of ZI traders, we
also measure other market’s characteristics. We then simulate the market for
different delays of the NBBO delay and we find that under certain conditions
and until certain length, the batch auctions are beneficial to ZI traders, as they
reduce the advantage and therefore the profit of the fast trader.




Patria Finance
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