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From the Archives: Measuring the 15-Microsecond Dash with Professor Eric “Batch” Budish
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The Basics of Batch Auctions
The idea of batch auctions is currently financial markets that operate as limit order books run in continuous time. In a frequent batch auction market, I provide bids and offers that I let rest for many discrete time intervals. At the end of every batch interval, they'd get batch processed using an auction. And then you'd see publicly where the market was at the end of each batch interval.
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