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| Author: | Hillion, P. Suominen, M. |
| Title: | The manipulation of closing prices |
| Journal: | Journal of Financial Markets
2004 : OCT, VOL 7:4, p. 351-375 |
| Index terms: | Stock markets Stock exchanges Auctions Prices France Models |
| Language: | eng |
| Abstract: | Before the introduction of a call auction at the close, the last minute of trading at the Paris Bourse was the most active of the whole day. Even though the bid-ask spread increased substantially, the probability of large and aggressive orders increased, as did price volatility. This paper develops an agency-based model of closing price manipulation, which can account for these phenomena. In addition, discussed is the optimal closing price mechanism under manipulation. |
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