| bibtype |
J -
Journal Article
|
| ARLID |
0648374 |
| utime |
20260415135943.3 |
| mtime |
20260402235959.9 |
| SCOPUS |
105033621702 |
| WOS |
001723408700001 |
| DOI |
10.1080/14697688.2026.2636565 |
| title
(primary) (eng) |
Distribution of Price and Volume in a Call Auction |
| specification |
| page_count |
16 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0039898 |
| ISSN |
1469-7688 |
| title
|
Quantitative Finance |
| volume_id |
26 |
| volume |
4 (2026) |
| page_num |
525-540 |
|
| keyword |
call auction |
| keyword |
settlement price |
| keyword |
traded volume |
| keyword |
asymptotic distribution |
| keyword |
fat tails |
| author
(primary) |
| ARLID |
cav_un_auth*0101206 |
| name1 |
Šmíd |
| name2 |
Martin |
| institution |
UTIA-B |
| full_dept (cz) |
Matematická teorie rozhodování |
| full_dept (eng) |
Department of Decision Making Theory |
| department (cz) |
MTR |
| department (eng) |
MTR |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0264564 |
| name1 |
Kuběna |
| name2 |
Aleš Antonín |
| institution |
UTIA-B |
| full_dept (cz) |
Matematická teorie rozhodování |
| full_dept |
Department of Decision Making Theory |
| department (cz) |
MTR |
| department |
MTR |
| full_dept |
Department of Econometrics |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| source |
|
| cas_special |
| project |
| project_id |
GA19-11062S |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0385133 |
|
| abstract
(eng) |
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. |
| result_subspec |
WOS |
| RIV |
BA |
| FORD0 |
10000 |
| FORD1 |
10100 |
| FORD2 |
10102 |
| reportyear |
2027 |
| num_of_auth |
2 |
| inst_support |
RVO:67985556 |
| permalink |
https://hdl.handle.net/11104/0378099 |
| confidential |
S |
| mrcbC91 |
C |
| mrcbT16-e |
BUSINESS.FINANCE|MATHEMATICS.INTERDISCIPLINARYAPPLICATIONS|ECONOMICS|SOCIALSCIENCES.MATHEMATICALMETHODS |
| mrcbT16-f |
2.1 |
| mrcbT16-g |
0.4 |
| mrcbT16-h |
8.4 |
| mrcbT16-i |
0.00395 |
| mrcbT16-j |
0.847 |
| mrcbT16-k |
3747 |
| mrcbT16-q |
89 |
| mrcbT16-s |
0.695 |
| mrcbT16-y |
43.68 |
| mrcbT16-x |
1.71 |
| mrcbT16-3 |
751 |
| mrcbT16-4 |
Q1 |
| mrcbT16-5 |
1.200 |
| mrcbT16-6 |
99 |
| mrcbT16-7 |
Q2 |
| mrcbT16-C |
43.2 |
| mrcbT16-M |
0.45 |
| mrcbT16-N |
Q3 |
| mrcbT16-P |
50.2 |
| arlyear |
2026 |
| mrcbU14 |
105033621702 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
001723408700001 WOS |
| mrcbU63 |
cav_un_epca*0039898 Quantitative Finance Roč. 26 č. 4 2026 525 540 1469-7688 1469-7696 |
|