کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
967600 | 931353 | 2006 | 15 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Call auction algorithm design and market manipulation Call auction algorithm design and market manipulation](/preview/png/967600.png)
It is commonly accepted that closing call auctions provide investors with access to closing prices, reduce volatility and reduce price manipulation. This paper argues that call auction design may influence the achievement of these objectives. The paper focuses on one aspect of call auction design, namely the matching algorithm used to set auction prices. Analysis of two real market cases indicates that different algorithms set different prices. The results also indicate that manipulation has a significant impact on call auction prices, with some algorithm designs more effective than others at reducing the impact of manipulation. Alternate call auction design features, such as volatility extensions, may be necessary to more effectively reduce closing price manipulation.
Journal: Journal of Multinational Financial Management - Volume 16, Issue 2, April 2006, Pages 184–198