Call auction, continuous trading and closing price formation

DOI10.1080/14697688.2020.1849782zbMath1479.91376OpenAlexW3127837035MaRDI QIDQ5014237

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

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

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

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