Clearing time randomization and transaction fees for auction market design

By Thibaut Mastrolia, Tianrui Xu

Published 2024-05-17

Everscope rating

1616.6

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Optimal control and stopping. Problem types: Optimization, Market Making, Auction Design.

arXiv:2405.09764 · Paper rankings

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