novel call auction model with insider information. Our model predicts that more insider information improves informational … of insider information the call auction performs worse than continuous double auction. Testing these hypotheses in the … lab we find that insider information increases informational efficiency of call auction prices but does not decrease the …

subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model … equilibrium behaviour. In a continuous time analogue of the single auction model, incorporation of a transaction costs allows the …

measuring the impact of two key variables on this trade-off: capacity restraint and discount on the auction clearing price … consequently, the most predictable auction outcome. There are indications that a discount of 8% may suffice to incentivize …

The unmediated call auction is a useful trading mechanism to aggregate dispersed information. Its ability to … simple call auction game where both auction prices and limit prices of uninformed traders reflect potential insider … information. The predictions of the model are tested in the laboratory. While an insider improves the call auction outcomes in …