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Tag: Sean Foley

IS THERE AN OPTIMAL CLOSING PRICE MECHANISM?

by sofia | Posted on

Concerns regarding the prevalence of manipulation of closing prices have prompted substantial changes to the mechanisms used to close trading at stock exchanges around the world.  Nicholas Cordi USYD, CIFR / CMCRC Honours Scholarship Program 2014   Sean Foley USYD Keywords: Close price, Random Auction Ending, Manipulation   Closing prices are important for, among others, benchmarking

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GAMING IN FUTURES MARKET SUGGESTS MODEL COULD BE IMPROVED?

by sofia | Posted on

Evidence from UK interest rate futures market reveals that traders have been “drowning” the market with oversized orders, increasing their allocation under a pure pro-rata matching algorithm. The 2007 introduction of a time element to the order matching mechanism has modified the behaviour of traders. No longer is the order book drowned with orders which

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