0648374 20260415135943.320260402235959.9 105033621702 001723408700001 10.1080/14697688.2026.2636565 16 s. P cav_un_epca*00398981469-7688264 (2026)525-540 call auction settlement price traded volume asymptotic distribution fat tails cav_un_auth*0101206 Šmíd Martin UTIA-B Matematická teorie rozhodování Department of Decision Making Theory MTR MTR Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0264564 Kuběna Aleš Antonín UTIA-B Matematická teorie rozhodování Department of Decision Making Theory MTR MTR Department of Econometrics CZ Ústav teorie informace a automatizace AV ČR, v. v. i. https://library.utia.cas.cz/separaty/2026/MTR/smid-0648374.pdf https://www.tandfonline.com/doi/full/10.1080/14697688.2026.2636565 GA19-11062S GA ČR CZ cav_un_auth*0385133 We study a call auction model with general demand and supply curves. Buy and sell orders arrive randomly and, on average, generate these curves. The model generalizes several existing models. While only conditional distributions of the clearing price and traded volume have been mathematically described in the literature, we derive both the exact and asymptotic unconditional distributions of these quantities. We demonstrate the rapid convergence of the asymptotic distributions to the exact ones. The model is able to reproduce fat-tailed behavior of the clearing price. In particular, we show that the quotes (bid and ask) inherit the tail behaviour of the demand and/or supply curves, and that fat tails in the price distribution may alternatively be caused by order imbalance. WOS BA 10000 10100 10102 2027 2 RVO:67985556 https://hdl.handle.net/11104/0378099 S C BUSINESS.FINANCE|MATHEMATICS.INTERDISCIPLINARYAPPLICATIONS|ECONOMICS|SOCIALSCIENCES.MATHEMATICALMETHODS 2.1 0.4 8.4 0.00395 0.847 3747 89 0.695 43.68 1.71 751 Q1 1.200 99 Q2 43.2 0.45 Q3 50.2 2026 105033621702 SCOPUS PUBMED 001723408700001 WOS cav_un_epca*0039898 Quantitative Finance Roč. 26 č. 4 2026 525 540 1469-7688 1469-7696