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Closing Call Auctions at the Index Futures Market

Hagströmer, Björn; Nordén, Lars - In: Journal of Futures Markets 34 (2014) 4, pp. 299-319

<section xml:id="fut21603-sec-0001"> We investigate the effects from the introduction of a closing call auction (CCA) at the index futures market. Limit order book models, where trader patience determines trading strategies, predict that a CCA increases trader patience and, hence, improves closing price accuracy and end‐of‐day...</section>

Persistent link: https://www.econbiz.de/10011006059