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Open Sesame: Alternative Opening Algorithms in Securities Markets

  • Ian Domowitz
  • Ananth Madhavan
Part of the The New York University Salomon Center Series on Financial Markets and Institutions book series (SALO, volume 7)

Abstract

Many securities markets use special protocols to open trading at the start of the day or following periods of non-trading caused by exchange halts or other occurrences. This chapter reviews the major opening procedures currently in use and evaluates their relative advantages and disadvantages from a practical viewpoint. In particular, we provide a detailed survey of existing opening protocols on several markets including the New York Stock Exchange, Paris Bourse, Globex, and various new automated systems. The experience from these systems is applied towards an evaluation of proposals for new opening systems.

Keywords

Limit Order Security Market Price Discovery Market Maker Order Book 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York. Boston 2001

Authors and Affiliations

  • Ian Domowitz
    • 1
  • Ananth Madhavan
    • 1
  1. 1.ITG, Inc.USA

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