Call auction, continuous trading and closing price formation

DOI10.1080/14697688.2020.1849782zbMATH Open1479.91376OpenAlexW3127837035MaRDI QIDQ5014237FDOQ5014237

Sumei Luo, Jiayi Li, Guangyou Zhou

Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1849782

Recommendations

• The effect of different market opening structures on market quality -- experimental evidence
• Call auctions with contingent orders
• Are tightened trading rules always bad? Evidence from the Chinese index futures market
• Short-horizon market efficiency, order imbalance, and speculative trading: evidence from the Chinese stock market
• Heterogeneity and competition in fragmented markets: fees vs speed

zbMATH Keywords

natural experimentcall auctioncontinuous tradingfinancial markets microstructure

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Financial markets (91G15)

Cites Work

• Continuous Auctions and Insider Trading
• Large Investors, Price Manipulation, and Limits to Arbitrage: An Anatomy of Market Corners*

This page was built for publication: Call auction, continuous trading and closing price formation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5014237)