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Re:The High-Frequency Trading Arms Race: Frequent Batch Auct... by AnimalMuppet on Friday May 24, 2019 @01:06PM (#20003451)
This raises a question in my mind. 100 milliseconds seems really short, but I could be wrong. But rather than guessing, you could optimize the time interval. Find t, the time interval, such that dF/dt = 0, where F is some function that...

That what? That reflects the efficiency of the market? That minimizes some measure of the turbulence in the market? That minimizes the incentive for high-frequency trading? Some combination of all of the above? What's the right measure of success for this?

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