New Market Structures in Electronic Equity Trading
Lead Research Organisation:
Imperial College London
Department Name: Mathematics
Abstract
"The structure of electronic equity markets continues to evolve. For example, in addition to continuous trading in electronic limit-order books, closing auctions at the end of each trading day play an increasingly prominent role. For example, in 2020, closing auctions accounted for more than 20% of European consolidated trading volume. Despite this growing importance, closing auctions have only received scarce attention in the academic literature on optimal trade scheduling.
Similarly, trading through periodic batch auctions - proposed by Budish, Cramton and Shim (2015) to enhance liquidity and price discovery - have now been introduced by a number of trading platforms, for example by CBOE Europe in 2015 and CBOE in the US in the third quarter of 2021. Except for some recent work of Jusselin, Mastrolia and Rosenbaum (2020) on optimal auction frequencies, there is again very little research on how this trading mechanism affects optimal trading strategies of individual market participants and in turn feeds back into overall market volatility and liquidity.
The goal of the present research project will be to analyze such new trading mechanisms empirically, design and analyze theoretical models for them, and implement these using efficient numerical algorithms. This research will be carried out in collaboration with the electronic equities division of BNP Paribas."
Similarly, trading through periodic batch auctions - proposed by Budish, Cramton and Shim (2015) to enhance liquidity and price discovery - have now been introduced by a number of trading platforms, for example by CBOE Europe in 2015 and CBOE in the US in the third quarter of 2021. Except for some recent work of Jusselin, Mastrolia and Rosenbaum (2020) on optimal auction frequencies, there is again very little research on how this trading mechanism affects optimal trading strategies of individual market participants and in turn feeds back into overall market volatility and liquidity.
The goal of the present research project will be to analyze such new trading mechanisms empirically, design and analyze theoretical models for them, and implement these using efficient numerical algorithms. This research will be carried out in collaboration with the electronic equities division of BNP Paribas."
Organisations
People |
ORCID iD |
Johannes Muhle-Karbe (Primary Supervisor) | |
Connor Tracy (Student) |
Studentship Projects
Project Reference | Relationship | Related To | Start | End | Student Name |
---|---|---|---|---|---|
EP/T51780X/1 | 01/10/2020 | 30/09/2025 | |||
2620682 | Studentship | EP/T51780X/1 | 02/10/2021 | 02/10/2025 | Connor Tracy |