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A new auction for substitutes : central-bank liquidity auctions, toxic assetʺ auctions, and variable product-mix auctions
Klemperer, Paul - 2009 - Rev.
Persistent link: https://www.econbiz.de/10003875079
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A new auction for substitutes : central-bank liquidity auctions, "toxic asset" auctions, and variable product-mix auctions
Klemperer, Paul - 2009
Persistent link: https://www.econbiz.de/10003879937
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Call Auction Mechanism and Closing Price Manipulation : Evidence from the Hong Kong Stock Exchange
Park, Seongkyu Gilbert - 2020
The Hong Kong Stock Exchange (HKEx) adopted a closing call auction in 2008 but suspended its operation ten months later … due to suspicion of widespread price manipulation. The Exchange relaunched the auction in 2016 with manipulation … call auction design on closing price manipulation. Our results indicate that a plain-vanilla call auction mechanism is …
Persistent link: https://www.econbiz.de/10012846904
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Pre-Auction Short Positions and Impacts on Primary Dealers' Bidding Behavior in US Treasury Auctions
Tchuindjo, Leonard - 2019
We model the uniform-price US Treasury security auction as a static symmetric game of incomplete information in which … each payer is a primary dealer who submits a demand schedule given two independent sources of private information – his pre-auction … we show how his pre-auction short position impacts his bidding behavior – in particular: the dealer's demand for the …
Persistent link: https://www.econbiz.de/10012905263
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Liquidity Shocks, Market Maker Turnover, and Bidding Behavior in Treasury Auctions
Gonzalez-Eiras, Martin - 2017
We use bid data from Argentinian Treasury bill auctions from 1996 to 2000 to study how banks' balance sheet and past performance affect bidding behavior. Exploiting variation in regulations for market making activity we show that when banks fear losing their market maker status, they bid more...
Persistent link: https://www.econbiz.de/10012949381
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Call auctions with contingent orders
Hafalir, Isa; Imisiker, Serkan - In: Games 13 (2022) 5, pp. 1-8
mechanism would be an improvement over the existing opening auction rules at stock exchanges. …
Persistent link: https://www.econbiz.de/10013368211
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The Informational Content of Limit Order Distributions During Market Auctions
Platania, Federico - 2016
companies exhibits a significant reduction of the noise during the auction …
Persistent link: https://www.econbiz.de/10012994826
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On Frequent Batch Auctions for Stocks
Jagannathan, Ravi - 2019
I show that frequent batch auctions for stocks have the potential to reduce the severity of stock price crashes when they occur. For a given sequence of orders from a continuous electronic limit order book market, matching orders using one second apart batch auctions results in nearly the same...
Persistent link: https://www.econbiz.de/10012480285
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On Frequent Batch Auctions for Stocks
Jagannathan, Ravi - 2019
I show that frequent batch auctions for stocks have the potential to reduce the severity of stock price crashes when they occur. For a given sequence of orders from a continuous electronic limit order book market, matching orders using one second apart batch auctions results in nearly the same...
Persistent link: https://www.econbiz.de/10012861734
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On frequent batch auctions for stocks
Jagannathan, Ravi - In: Journal of financial econometrics 20 (2022) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10012878116