The closing auction has experienced significant growth over the last decade, and it has become increasingly important to traders. We find that the price impact in closing auctions in the US is significantly smaller than that in continuous markets. The opening auctions are relatively less active...

High-frequency traders in financial markets have been making media headlines. As a relatively new phenomenon, much of the discussion is not backed by solid academic research. In this special issue of the Journal of Financial Markets on High-Frequency Trading, we present several research papers...