集合竞价 (Call Auction) 是怎么确定价格的?(5)比较总结 Maxwell CFA 特许金融分析师资格证持证人1 人赞同了该文章 集合竞价是订单驱动市场(Order-driven Market)中的一种重要的交易机制,当前绝大多数的交易所在开盘和收盘时段使用集合竞价形成开盘价和收盘价。本系列的前几篇文章介绍如何利用多种方法计算...
A call auction batches orders together for simultaneous execution in a multilateral trade, at a single price, at a single point in time. Order batching amasses liquidity, tempers price volatility, lowers execution costs for participants, and sharpens price discovery for the broad market. Accordingly...
由于最终形成单一的价格,这种方式也称为单一价格竞价(Single price call auction)。 集合竞价是订单驱动市场(Order-driven Market)中的一种重要的交易机制,当前绝大多数的交易所在开盘和收盘时段使用集合竞价形成开盘价和收盘价,在中间时段使用连续竞价(Continuous two-sided auctions)。 市场分类 下图是基于执行系统的...
The papers it contains focus on the call auction and its role in a hybrid market struc ture. The purpose is to increase understanding of this trading environment, and to consider the design of a more efficient stock market. This book had its origin in a symposium, Electronic Call Market...
The Electronic Call Auction - Market Mechanism and Trading 作者:Schwartz, Robert A. 编 出版年:2001-10 页数:479 定价:$ 303.97 ISBN:9780792372561 豆瓣评分 目前无人评价 评价: 写笔记 写书评 加入购书单 分享到 + 加入购书单
Call markets are seldom used in comparison auction markets, where price setting and trades occur continually between multiple buyers and sellers. However, the call markets are helpful for illiquid securities or when there are few sellers and buyers to establish an active market. ...
auction in a market’s micro-structure, and to the facility’s ability to deal with market quality issues such as containing intra-day price volatility, sharpening price discovery, and catering to participant demands for immediacy. To produce robust results, a call auction must attract sufficient...
Burhop, C., and S. Gelman. 2011. "Liquidity Measures, Liquidity Drivers, and Expected Returns on an Early Call Auction Market." Working paper, Max Planck Institute (http://papers.ssrn.com/sol3/papers. cfm?abstract_id=1919522##).
Orders batched into call auctions are “priced” orders, meaning all orders are limit orders; there are no market orders involved. By contrast, in continuous trading, limit orders only trade at their limit prices when the market prices trigger the limit. In the call auction, however, prices ...
Call auctions are used during periods of heightened market volatility or when trading has been halted for a particular security. In these situations, a call auction can help stabilize the market by gathering orders over a set period and then matching them at a price that reflects the true marke...