Clearing price distributions in call auctions

DOI10.1080/14697688.2020.1744699zbMath1454.91285arXiv1904.07583OpenAlexW3018831879MaRDI QIDQ5139246

B. J. K. Kleijn, M. Derksen, Robin de Vilder

Publication date: 7 December 2020

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

Full work available at URL: https://arxiv.org/abs/1904.07583

zbMATH Keywords

price formationstochastic modelprice impactcall auctionclearing priceclosing price prediction

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (1)

Heavy tailed distributions in closing auctions

Cites Work

• More statistical properties of order books and price impact
• Dynamic stability of the Nash equilibrium for a bidding game
• A MATHEMATICAL APPROACH TO ORDER BOOK MODELING
• Price Dynamics in a Markovian Limit Order Market
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• A Stochastic Model for Order Book Dynamics
• Market Behavior in a Clearing House
• Asymptotic Statistics
• Market impact with multi-timescale liquidity
• Statistical properties of stock order books: empirical results and models
• A steady-state model of the continuous double auction
• Statistical theory of the continuous double auction
• A fully consistent, minimal model for non-linear market impact
• The order book as a queueing system: average depth and influence of the size of limit orders
• Analyzing and modeling 1+1d markets

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