A New Design for Trading Stocks

A seminar where Professor Albert "Pete" Kyle proposes a new design for trading stocks in which orders are executed gradually over time using frequent batch auctions at intervals of one second or less.

This approach virtually eliminates the profits high frequency traders earn based on speed, guarantees execution of "VWAP" orders to volume weighted average price, eliminates the need for many messages, and is consistent with theoretical models of how trading and liquidity have a time dimension. The approach generalizes to orders for portfolios of assets, with simultaneous market clearing prices for all assets every second.

Followed by a panel discussion with:

Claes-Henrik Julander, Chair, Erik Penser Bank & former CEO, Pan Capital

Moderator: Jungsuk Han, Swedish House of Finance at the Stockholm School of Economics