Bommel, Jos van; Hoffmann, Peter - Centre de Recherche en Économie Appliquée (CREA), … - 2011
We compare the call auction mechanisms of two major European stock exchanges. The French Euronext auctions disclose five levels of limit orders and have fixed ending times. The German Xetra auctions only disclose the virtual clearing price and volume, and have random ending times. For a sample...