Kandel, Eugene; Rindi, Barbara; Bosetti, Luisella - In: Journal of Financial Intermediation 21 (2012) 1, pp. 23-49
We study the effects of the introduction of a closing auction (CA) on the microstructure on the continuous trading phase in Borsa Italiana and Paris Bourse. We postulate and compare several empirical predictions based on both standard Kyle-type models and more recent models of limit order book....