Call Auctions with Contingent Orders

Hafalir, IE; Imisiker, S

Call Auctions with Contingent Orders

Hafalir, IE Imisiker, S

Permalink

Publisher:: MDPI AG
Publication Type:: Journal Article
Citation:: Games, 2022, 13, (5), pp. 61
Issue Date:: 2022-09-13

Open Access

Copyright Clearance Process

Recently Added
In Progress
Open Access

This item is open access.

Adobe PDF

Download Published versionAdobe PDF (220.21 kB)

View on publisher's site

View statistics

Full metadata record

Field	Value	Language
dc.contributor.author	Hafalir, IE
dc.contributor.author	Imisiker, S
dc.date.accessioned	2023-01-18T02:55:26Z
dc.date.available	2023-01-18T02:55:26Z
dc.date.issued	2022-09-13
dc.identifier.citation	Games, 2022, 13, (5), pp. 61
dc.identifier.issn	2073-4336
dc.identifier.issn	2073-4336
dc.identifier.uri	http://hdl.handle.net/10453/165095
dc.description.abstract	<jats:p>We introduce a new mechanism for call auctions which are widely used in stock exchanges. Our unique design incorporates contingent claims (buy stock A, if selling stock B) into the price discovery process. With our proposed mechanism, we show that higher liquidity during the call auctions is achieved, as well as lower volatility after the call auctions. Moreover, we show that current call auctions and the proposed mechanism have similar incentive properties. Hence, we argue that the proposed mechanism would be an improvement over the existing opening auction rules at stock exchanges.</jats:p>
dc.language	en
dc.publisher	MDPI AG
dc.relation.ispartof	Games
dc.relation.isbasedon	10.3390/g13050061
dc.rights	info:eu-repo/semantics/openAccess
dc.subject	0102 Applied Mathematics, 1401 Economic Theory, 1701 Psychology
dc.title	Call Auctions with Contingent Orders
dc.type	Journal Article
utslib.citation.volume	13
utslib.for	0102 Applied Mathematics
utslib.for	1401 Economic Theory
utslib.for	1701 Psychology
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Economics Discipline
utslib.copyright.status	open_access	*
dc.date.updated	2023-01-18T02:55:25Z
pubs.issue	5
pubs.publication-status	Published online
pubs.volume	13
utslib.citation.issue	5

Abstract:

We introduce a new mechanism for call auctions which are widely used in stock exchanges. Our unique design incorporates contingent claims (buy stock A, if selling stock B) into the price discovery process. With our proposed mechanism, we show that higher liquidity during the call auctions is achieved, as well as lower volatility after the call auctions. Moreover, we show that current call auctions and the proposed mechanism have similar incentive properties. Hence, we argue that the proposed mechanism would be an improvement over the existing opening auction rules at stock exchanges.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/165095