Call auction algorithms

I've been trying to find out what call auction algorithms are used by various stock markets at the start, end of day and during suspension. can someone point me to the right place.

Also, is there a starting page/resource about various call auction algorithms.

Bastian Gross

German Mathquant
Hello Scarletyoke

Watch out this attached paper!



  • callauction_algo.pdf
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Director, Wasserman Trading Floor/Subotnick Center
Prof. Robert Schwartz of Baruch College is widely recognized as a top authority on market structure including call auctions. You would do well to look at some of his books and papers. For example:
Equity Markets in Action: The Fundamentals of Liquidity, Market Structure and Trading," with Reto Francioni, John Wiley & Sons, 2004.

Thanks so much both of you. This is really useful information.

I did come across several other papers as well. Most of them are behind paid journal websites though.

The Comerton-Fordea, Rydgea paper definitely is really good.

Auctions: Theory and Practice
The Toulouse Lectures in Economics
Paul Klemperer

Auctions: Theory and Practice is definitely an amazing resource.