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Record W3174445774 · doi:10.1093/jjfinec/nbz038

On Frequent Batch Auctions for Stocks

2019· article· en· W3174445774 on OpenAlex

Why this work is in the frame

A frame that forgets how it found something cannot be audited. These are the routes that admitted this work.

affAt least one author lists a Canadian institution in the pinned OpenAlex snapshot.

Bibliographic record

VenueJournal of Financial Econometrics · 2019
Typearticle
Languageen
FieldDecision Sciences
TopicAuction Theory and Applications
Canadian institutionsKellogg's (Canada)
Fundersnot available
KeywordsCommon value auctionMatching (statistics)Stock (firearms)EconomicsLimit (mathematics)Stock marketOrder (exchange)EconometricsMicroeconomicsFinancial economicsMathematicsStatisticsFinanceEngineering

Abstract

fetched live from OpenAlex

Abstract I show that frequent batch auctions for stocks have the potential to reduce the severity of stock price crashes when they occur. For a given sequence of orders from a continuous electronic limit order book market, matching orders using one-second apart batch auctions results in nearly the same trades and prices. Increasing the time interval between auctions to one minute significantly reduces the severity stock price crashes. In spite of this and other advantages pointed out in the literature, frequent batch auctions have not caught on. There is a need for carefully designed market experiments to understand why and what aspect of reality academic research may be missing.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

Full frame distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.002
metaresearch head score (Gemma)0.005
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesnone
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Theoretical or conceptual · Consensus signal: Theoretical or conceptual
GenreCandidate signal: Empirical · Consensus signal: Empirical
Teacher disagreement score0.353
Threshold uncertainty score0.985

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0020.005
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0000.000
Bibliometrics0.0010.002
Science and technology studies0.0000.000
Scholarly communication0.0000.000
Open science0.0000.000
Research integrity0.0000.000
Insufficient payload (model declined to judge)0.0010.001

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.114
GPT teacher head0.369
Teacher spread0.255 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it