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...

We analyze an overlapping generations economy where agents interact to share liquidity risk. We show that a pure exchange economy has excessive trade in equilibrium, and that intergenerational financial intermediaries reduce the number of interactions by catering to clienteles with uncorrelated...

Continuously monitored down-and-out calls and up-and-out puts have become very popular during the last decade, mainly because they can be interpreted as simple leveraged positions. Their deltas stay close to unity and their Greeks are small, particularly in low interest rate environments....

We compare the auction mechanisms of two major European stock exchanges: Euronext (Paris) and Xetra (Frankfurt). During the call phase, the French exchange discloses five levels of limit orders and has a fixed closing time. The more opaque Xetra system only discloses the virtual clearing price...

We propose the Volume Coefficient of Variation (VCV), the ratio of the standard deviation to the mean of trading volume, as a new and easily computable measure of information asymmetry in security markets. We use a microstructure model to demonstrate that VCV is strictly increasing in the...