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The influence of call auction algorithm rules on market efficiency · Study

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ArticleThe influence of call auction algorithm rules on market efficiency

Carole Comerton‐Forde2006

Article2006

The influence of call auction algorithm rules on market efficiency

Carole Comerton‐Forde · James Rydge

69 citations·0/0 files stored·Journal of Financial Markets

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Financial Markets and Investment Strategies Stochastic processes and financial applications Finance, Markets, and Regulation

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References

1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns 1987Trading Mechanisms and Stock Returns: An Empirical Investigation 1996Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading 1999Market Transparency: Who Wins and Who Loses?1999Price Discovery and Learning during the Preopening Period in the Paris Bourse 1992Trading Mechanisms in Securities Markets 1991Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market 1994Convergence to Efficiency in a Simple Market with Incomplete Information

Cited by

2010The Effect of a Closing Call Auction on Market Quality and Trading Strategies 2005Closing call auctions and liquidity 2015GIMS—Software for asset market experiments 2013Equilibrium Discovery and Preopening Mechanisms in an Experimental Market 2012Overnight public information, order placement, and price discovery during the pre-opening period

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2005Call auction algorithm design and market manipulationarticle · 8 shared references 2005The current state of Asia-Pacific stock exchanges: A critical review of market designarticle · 7 shared references 2005Closing call auctions and liquidityarticle · 7 shared references 2002The Microstructure of Stock Marketsarticle · 7 shared references 2000Market structure, informational efficiency and liquidity: An experimental comparison of auction and dealer marketsarticle · 6 shared references 2002Continuous Trading or Call Auctions: Revealed Preferences of Investors at the Tel Aviv Stock Exchangearticle · 6 shared references

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Year2006

Typearticle

Published2006-04-24

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations69

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.finmar.2006.02.001

openalex_workW2020133972

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