Information Aggregation in High Frequency Continuous Double Auctions
Posted: 10 Nov 2018
Date Written: October 10, 2018
Information aggregation in high frequency continuous auctions is investigated. It is proposed that information resides within the price formation mechanism in these markets. The public signal of the asset price is seen to be a part of the price system. Information aggregates into the public signal via an Information content structure. While the information content structure is measurable, the information aggregation is opaque and stochastically evolving.
Keywords: Information Aggregation, Continuous Auctions, High Frequency, Private Information, Information Content of Quotes
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