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Quantitative Finance · Glossário

O que é Periodic auction?

Definition 11.9 Markets I: The Ecosystem and Exchange-Traded Markets · Capítulo 11 — European Equity Market Structure

A periodic auction is a short call auction, typically lasting a fraction of a second, that starts when two orders in the book could match, publishes an indicative price and size during its brief life, and uncrosses at a single price, often constrained to lie within the best bid and offer of the reference market.

A simulated share whose midpoint dark trading drifts upward. When the twelve-month usage crosses 7% (dashed) the waiver is suspended for three months: dark volume falls to zero and half of it reappears in periodic auctions. Data: the chapter’s simulation; the migration split is illustrative.
Figure 11.4. A simulated share whose midpoint dark trading drifts upward. When the twelve-month usage crosses 7% (dashed) the waiver is suspended for three months: dark volume falls to zero and half of it reappears in periodic auctions. Data: the chapter’s simulation; the migration split is illustrative.
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