Call auction, continuous trading and closing price formation

Noise trading and the price formation process ☆

This study proposes the dispersion in daily net initiated order flow across brokers as a proxy for the level of noise trading in a stock, and applies this proxy to test some basic implications of market microstructure theory. We use data from the Australian Stock Exchange, a computerized limit order market where price, quantity, and broker identity for each incoming order are shown on broker sc...

Information perception and price dynamics in a continuous double auction

More than Zero Intelligence Needed for Continuous Double-Auction Trading

Gode & Sunder's (1993) results from using \zerointelligence" (zi) traders, that act randomly within a continuous double-auction (cda) market, appear to imply that human-like convergence to the theoretical equilibrium price in such markets is determined more by market structure than by the intelligence of the traders in that market. This paper presents a mathematical analysis that predicts serio...

A Random Order Placement Model of Price Formation in the Continuous Double Auction

Most modern financial markets use a continuous double auction mechanism to store and match orders and facilitate trading. In this chapter we use a microscopic dynamical statistical model for the continuous double auction under the assumption of IID random order flow. The analysis is based on simulation, dimensional analysis, and theoretical tools based on mean-field approximations. The model ma...

Price Formation in Single Call Markets

JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact [email protected]. The Econometric Society is collaborating with JSTOR to dig...