We survey the literature analyzing the price formation and trading process, and the
consequences of market organization for price discovery and welfare. We offer a synthesis …

The proliferation of electronic limit order books operating without dealers raises questions
regarding the need for intermediaries with affirmative obligations to maintain markets. We …

This paper provides a comprehensive evaluation of the predictive ability of information
accumulated during nontrading hours for a set of European and US stock indexes. We …

We consider the problem of optimally placing market orders so as to minimize the expected
liquidity costs from buying a given amount of shares. The liquidity price impact of market …

This paper analyzes the impact of call auction design on the efficiency of auction prices. On
18 March 2002, the Australian Stock Exchange introduced a new matching algorithm and …

We show that estimating demand and supply elasticities at the opening stage of trading at
the Tel Aviv Stock Exchange is highly sensitive to which of several reasonable measures is …

It is commonly accepted that closing call auctions provide investors with access to closing
prices, reduce volatility and reduce price manipulation. This paper argues that call auction …

We examine a class of wagering mechanisms designed to elicit truthful predictions from a
group of people without requiring any outside subsidy. We propose a number of desirable …

The Chinese stock market design offers a unique opportunity to examine the impact of pre-
open call auctions on price efficiency and price discovery. By comparison, we find that …

This paper examines the impact of the German 2001 tax reform, where Germany switched
from a full imputation system to a classical system. Theory suggests that both price drop …