While I was at jpmorgan I actually spent some time thinking about alternative auction structures (vs the order book model). The current trading model is ultimately a mechanization of the rules from trading happened in a literal trading floor room, and a lot of the structural issues stem from those rules treating time as infinite resolution and the speed of information propagation/light being instaneous.
There’s some interesting details about how large trades are done today that could perhaps be better reflected into some element of auction design.
There’s some interesting details about how large trades are done today that could perhaps be better reflected into some element of auction design.