New Market Structures in Electronic Equity Trading

“电子股票市场的结构在不断演变。例如，除了电子限价单上的连续交易外，每个交易日结束时的收盘拍卖发挥着越来越突出的作用。例如，在2020年，收盘拍卖占欧洲综合交易量的20%以上。尽管封闭性拍卖越来越重要，但在最优交易调度的学术文献中，封闭性拍卖却很少受到关注。同样，通过定期批量拍卖进行交易——由buddish、Cramton和Shim（2015年）提出，以增强流动性和价格发现——现在已被许多交易平台引入，例如2015年欧洲CBOE和2021年第三季度美国CBOE。除了Jusselin、Mastrolia和Rosenbaum（2020）最近关于最优拍卖频率的一些研究外，关于这种交易机制如何影响单个市场参与者的最优交易策略并反过来反馈到整体市场波动性和流动性的研究仍然很少。本研究项目的目标将是对这种新的交易机制进行实证分析，为它们设计和分析理论模型，并使用有效的数值算法实现这些模型。这项研究将与法国巴黎银行的电子股票部门合作进行。”

"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."