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?
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?