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Closing Call Auctions at the Index Futures Market
16 references·0 citing·32 second hop
Closing Call Auctions at the Index Futures Market (2011)Closing Call Auctions at the Index Future…The Effect of a Closing Call Auction on Market Quality and Trading Strategies (2010)The Effect of a Closing Call …A Dynamic Model of the Limit Order Book (2009)A Dynamic Model of the Limit …Order Consolidation, Price Efficiency, and Extreme Liquidity Shocks (2008)Order Consolidation, Price Ef…So What Orders Do Informed Traders Use?* (2006)So What Orders Do Informed Tr…Limit Order Book as a Market for Liquidity (2005)Limit Order Book as a Market …Equilibrium in a Dynamic Limit Order Market (2005)Equilibrium in a Dynamic Limi…Aggressive Orders and the Resiliency of a Limit Order Market (2005)Aggressive Orders and the Res…The manipulation of closing prices (2004)The manipulation of closing p…A closing call's impact on market quality at Euronext Paris (2003)A closing call's impact on ma…Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong (2001)Limit Orders, Depth, and Vola…Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy (1996)Market vs. Limit Orders: The …Trading Mechanisms in Securities Markets (1992)Trading Mechanisms in Securit…A Theory of Trading in Stock Index Futures (1991)A Theory of Trading in Stock …A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)Theory of rational option pricing (2005)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Does Algorithmic Trading Improve Liquidity? (2011)The Illiquidity of Corporate Bonds (2011)Price, trade size, and information in securities markets (1987)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Commonality in liquidity (2000)Market structure, information, futures markets, and price formation. (1984)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)Optimal control of execution costs (1998)Order flow composition and trading costs in a dynamic limit order market (1999)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)The Limits of Arbitrage (1995)Optimal trading strategy and supply/demand dynamics (2012)High frequency market microstructure (2015)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)Is the Electronic Open Limit Order Book Inevitable? (1994)Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)How Wise Are Crowds? Insights from Retail Orders and Stock Returns (2013)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Market microstructure: A survey (2000)Common factors in prices, order flows, and liquidity (2001)Investor Overconfidence and Trading Volume (2006)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 2005Limit Order Book as a Market for Liquidity625 cited
  • 1992Trading Mechanisms in Securities Markets572 cited
  • 2009A Dynamic Model of the Limit Order Book567 cited
  • 1991A Theory of Trading in Stock Index Futures542 cited
  • 2005Equilibrium in a Dynamic Limit Order Market439 cited
  • 1996Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy388 cited
  • 2006So What Orders Do Informed Traders Use?*352 cited
  • 2001Limit Orders, Depth, and Volatility: Evidence from the Stock Exchange of Hong Kong308 cited
  • 2003A closing call's impact on market quality at Euronext Paris199 cited
  • 2004The manipulation of closing prices175 cited
  • 2005Aggressive Orders and the Resiliency of a Limit Order Market106 cited
  • 2008Order Consolidation, Price Efficiency, and Extreme Liquidity Shocks106 cited
  • 2010The Effect of a Closing Call Auction on Market Quality and Trading Strategies

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