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Closing Call Auctions at the Index Futures Market · Study

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ArticleClosing Call Auctions at the Index Futures Market

Björn Hagströmer2011

OA

Articlegreen2011

Closing Call Auctions at the Index Futures Market

Björn Hagströmer · Lars L. Nordén

16 citations·0/0 files stored·Journal of Futures Markets

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Financial Markets and Investment Strategies Stochastic processes and financial applications Market Dynamics and Volatility

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References

1985Continuous Auctions and Insider Trading 1988A Theory of Intraday Patterns: Volume and Price Variability 1983Information Effects on the Bid-Ask Spread 2005Limit Order Book as a Market for Liquidity 1992Trading Mechanisms in Securities Markets 2009A Dynamic Model of the Limit Order Book 1991A Theory of Trading in Stock Index Futures 2005Equilibrium in a Dynamic Limit Order Market

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Year2011

Typearticle

Published2011-01-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations16

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1002/fut.21603

openalex_workW3125420784

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