All books

Professional

Apps About Coach Log in Start reading

Quantitative Finance · Glossary

What is Volatility interruption?

Definition 13.7 Markets I: The Ecosystem and Exchange-Traded Markets · Chapter 13 — Auctions

A volatility interruption is an unscheduled call auction that an exchange starts automatically when the next trade would occur outside a price corridor around a reference price: the continuous market stops for a few minutes, orders accumulate, and trading restarts at an uncrossing price.

Read in context →