Narrow search
Showing 1 - 5 of 5
Cover Image
Order revelation at market openings
Chakraborty, Archishman; Pagano, Michael S.; Schwartz, … - In: Journal of financial markets 15 (2012) 2, pp. 127-150
Persistent link: https://www.econbiz.de/10009614495
Cover Image
The quality of price formation at market openings and closings : evidence from the Nasdaq stock market
Pagano, Michael S.; Peng, Lin; Schwartz, Robert A. - 2008
We assess the quality of opening and closing prices for Nasdaq stocks by examining the effect that opening and closing call auctions (introduced in 2004) have had on price formation. Our use of measurement intervals of one minute or less sharpens the picture of intra-day volatility...
Persistent link: https://www.econbiz.de/10003831253
Cover Image
The return of the call auction
Ozenbas, Deniz; Schwartz, Robert A. - In: The journal of portfolio management : JPM 48 (2022) 6, pp. 110-126
Persistent link: https://www.econbiz.de/10014231645
Cover Image
The Electronic Call Auction: Market Mechanism and Trading : Building a Better Stock Market
Schwartz, Robert A. (ed.) - 2001 - 1st ed. 2001.
I. Call Auction Trading -- 1 The Call Auction Alternative -- 2 The Call Market: Historical Artifact or Market Architecture of the Future -- 3 Call Market Trading: History, Economics, and Regulation -- 4 An Electronic Call Market: Its Design and Desirability -- 5 Electronic Call Market Trading --...
Persistent link: https://www.econbiz.de/10014021890
Cover Image
The quality of price formation at market openings and closings: Evidence from the Nasdaq stock market
Pagano, Michael S.; Peng, Lin; Schwartz, Robert A. - 2008
We assess the quality of opening and closing prices for Nasdaq stocks by examining the effect that opening and closing call auctions (introduced in 2004) have had on price formation. Our use of measurement intervals of one minute or less sharpens the picture of intra-day volatility...
Persistent link: https://www.econbiz.de/10010303693