U.S. Exchange Auction Trends: Recent Opening and
Closing Auction Behavior, and the Implications
on Order Management Strategies
Robert Kissell and Hans Lie
The Journal of Trading Winter 2011, 6 (1) 10-30; DOI: https://doi.org/10.3905/jot.2011.6.1.010
Robert Kissell
is executive director of UBS Equities Execution in Stamford, CT.
Hans Lie
is director of Algorithmic Trading, at UBS Equities Execution in Stamford, CT.
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In this issue
U.S. Exchange Auction Trends: Recent Opening and
Closing Auction Behavior, and the Implications
on Order Management Strategies
Closing Auction Behavior, and the Implications
on Order Management Strategies
Robert Kissell, Hans Lie
The Journal of Trading Dec 2010, 6 (1) 10-30; DOI: 10.3905/jot.2011.6.1.010
Jump to section
- Article
- Abstract
- METHODOLOGY
- AVERAGE STOCK VOLUMES
- AUCTION VOLUME TRENDS: TIME SERIES ANALYSIS
- DISTRIBUTION OF AUCTION VOLUMES
- SPECIAL EVENT DAYS
- INTRADAY VOLUME PATTERNS: SPECIAL EVENT DAYS
- CLOSING AUCTION CHANGES: SPECIAL EVENT DAYS
- OPENING AUCTION CHANGES: SPECIAL EVENT DAYS
- CORRELATIONS BETWEEN DAILY VOLUMES AND AUCTION VOLUMES
- CONCLUSIONS
- Footnotes
- Info & Metrics
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