BROWSE

Call Auction

What is 'Call Auction'

Where participants buy or sell units of a good. At a call auction, participants place orders to buy or sell units at certain buying or selling prices. Orders collected during a call auction are matched to form a contract. Call auction rules vary by auction.

Explaining 'Call Auction'

In the securities market, this procedure replaces the method of continuously matching orders. Buyers set a maximum price at which they will buy the shares and sellers set a minimum price at which they are willing to sell the stock shares. Advantages of call auctions include a decrease in price instability.


Further Reading


Closing call auctions and liquidity
onlinelibrary.wiley.com [PDF]
… aSchool of Banking and Finance, University of New South Wales and Capital Markets Cooperative Research … The present paper examines the impact of closing call auctions on liquidity. It exploits the natural experiment offered by the introduction of a closing call auction on the …

The influence of call auction algorithm rules on market efficiencyThe influence of call auction algorithm rules on market efficiency
www.sciencedirect.com [PDF]
… aSchool of Banking and Finance, University of New South Wales and Capital Markets Cooperative Research … The present paper examines the impact of closing call auctions on liquidity. It exploits the natural experiment offered by the introduction of a closing call auction on the …

Call auction algorithm design and market manipulationCall auction algorithm design and market manipulation
www.sciencedirect.com [PDF]
… aSchool of Banking and Finance, University of New South Wales and Capital Markets Cooperative Research … The present paper examines the impact of closing call auctions on liquidity. It exploits the natural experiment offered by the introduction of a closing call auction on the …

Price-formation process of an emerging futures market: Call auction versus continuous auctionPrice-formation process of an emerging futures market: Call auction versus continuous auction
www.tandfonline.com [PDF]
… aSchool of Banking and Finance, University of New South Wales and Capital Markets Cooperative Research … The present paper examines the impact of closing call auctions on liquidity. It exploits the natural experiment offered by the introduction of a closing call auction on the …

Price limits on a call auction market: Evidence from the Warsaw Stock ExchangePrice limits on a call auction market: Evidence from the Warsaw Stock Exchange
www.sciencedirect.com [PDF]
… aSchool of Banking and Finance, University of New South Wales and Capital Markets Cooperative Research … The present paper examines the impact of closing call auctions on liquidity. It exploits the natural experiment offered by the introduction of a closing call auction on the …

Price Discovery of the Close-and-open Call Auction Mechanism <span style=[J]' src='/thumbnails/?img=http%3A%2F%2Fen.cnki.com.cn%2FArticle_en%2FCJFDTotal-XTLL200602001.htm' />Price Discovery of the Close-and-open Call Auction Mechanism [J]
en.cnki.com.cn [[J]' href='https:/api.miniature.io/pdf?url=en.cnki.com.cn%2FArticle_en%2FCJFDTotal-XTLL200602001.htm'>PDF]
… aSchool of Banking and Finance, University of New South Wales and Capital Markets Cooperative Research … The present paper examines the impact of closing call auctions on liquidity. It exploits the natural experiment offered by the introduction of a closing call auction on the …

Commodity trading using an agent-based iterated double auctionCommodity trading using an agent-based iterated double auction
dl.acm.org [PDF]
… aSchool of Banking and Finance, University of New South Wales and Capital Markets Cooperative Research … The present paper examines the impact of closing call auctions on liquidity. It exploits the natural experiment offered by the introduction of a closing call auction on the …

The switch from continuous to call auction trading in response to a large intraday price movementThe switch from continuous to call auction trading in response to a large intraday price movement
www.tandfonline.com [PDF]
… aSchool of Banking and Finance, University of New South Wales and Capital Markets Cooperative Research … The present paper examines the impact of closing call auctions on liquidity. It exploits the natural experiment offered by the introduction of a closing call auction on the …

Designing call auction institutions: is double Dutch the best?Designing call auction institutions: is double Dutch the best?
www.jstor.org [PDF]
… aSchool of Banking and Finance, University of New South Wales and Capital Markets Cooperative Research … The present paper examines the impact of closing call auctions on liquidity. It exploits the natural experiment offered by the introduction of a closing call auction on the …


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