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Toward a fully continuous exchange

Kyle, Albert S.; Lee, Jeongmin - In: Oxford review of economic policy 33 (2017) 4, pp. 650-675

Persistent link: https://www.econbiz.de/10011952562

Intraday volatility and the implementation of a closing call auction at Borsa Istanbul

Inci, Ahmet Can; Ozenbas, Deniz - In: Emerging markets review 33 (2017), pp. 79-89

Persistent link: https://www.econbiz.de/10011803326

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

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

Closing auctions : Nasdaq versus NYSE

Jegadeesh, Narasimhan; Wu, Yanbin - In: Journal of financial economics 143 (2022) 3, pp. 1120-1139

Persistent link: https://www.econbiz.de/10013402150

Identifying Stock Market Bubbles : Modeling Illiquidity Premium and Bid-Ask Prices of Financial Securities

Karimov, Azar - 2017

parameter derived by employing conic finance theory. Further, it shows how to develop the closed form formulas of the bid and …Introduction -- Review on Research Conducted -- Theory of Conic Finance -- Stock Prices Follow a Brownian Motion …

Persistent link: https://www.econbiz.de/10012397431

Identifying stock market bubbles : modeling illiquidity premium and bid-ask prices of financial securities

Karimov, Azar - 2017 - 1st edition 2018

Persistent link: https://www.econbiz.de/10011710988

Limit order book dynamics and asset liquidity

Pristas, Georg - 2008 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003754583

Market liquidity risk : implications for asset pricing, risk management, and financial regulation

Van der Merwe, Andria - 2015 - 1. ed.

Musings on liquidity -- Financial crises and liquidity traffic jams -- Market structures and institutional arrangements of trading -- Asset pricing and liquidity models -- Stories of liquidity and credit -- Financial regulation and liquidity risk management

Persistent link: https://www.econbiz.de/10011318554

Market liquidity in the financial crisis : the role of liquidity commonality and flight-to-quality

Rösch, Christoph G.; Kaserer, Christoph - In: Journal of banking & finance 37 (2013) 7, pp. 2284-2302

Persistent link: https://www.econbiz.de/10009760681