JSAI Technical Report, Type 2 SIG
Online ISSN : 2436-5556
A Theory of Intraday Patterns under Tokyo Stock Exchange Rules: Continuous Double Auction and Call Market
Masabumi FURUHATA
Author information
RESEARCH REPORT / TECHNICAL REPORT FREE ACCESS

2010 Volume 2010 Issue FIN-005 Pages 09-

Details
Abstract

This article develops a methodology to compare market performances under different trading mechanisms for equities implemented in TokyoStock Exchange(TSE): countinuous double auction and call market. Our results show that patience on time-to-execution of traders has a significant impact on market performances. Hence fast moving equities tend to shrink their liquidity under call market having a long intervel on executions.

Content from these authors
© 2010 Authors
Previous article Next article
feedback
Top