What is ‘Call Auction’
Where participants buy or sell units of a good. At a call auction, participants place orders to buy or sell units at certain buying or selling prices. Orders collected during a call auction are matched to form a contract. Call auction rules vary by auction.
Explaining ‘Call Auction’
In the securities market, this procedure replaces the method of continuously matching orders. Buyers set a maximum price at which they will buy the shares and sellers set a minimum price at which they are willing to sell the stock shares. Advantages of call auctions include a decrease in price instability.
Further Reading
- Closing call auctions and liquidity – onlinelibrary.wiley.com [PDF]
- The influence of call auction algorithm rules on market efficiency – www.sciencedirect.com [PDF]
- Call auction algorithm design and market manipulation – www.sciencedirect.com [PDF]
- Price-formation process of an emerging futures market: Call auction versus continuous auction – www.tandfonline.com [PDF]
- Price limits on a call auction market: Evidence from the Warsaw Stock Exchange – www.sciencedirect.com [PDF]
- Price Discovery of the Close-and-open Call Auction Mechanism [J] – en.cnki.com.cn [PDF]
- Commodity trading using an agent-based iterated double auction – dl.acm.org [PDF]
- The switch from continuous to call auction trading in response to a large intraday price movement – www.tandfonline.com [PDF]
- Designing call auction institutions: is double Dutch the best? – www.jstor.org [PDF]
