Research method
Closing auction strategy
Closing auction strategy is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Signal
- Input
- Rule inputs, market state and execution constraints
- Horizon
- The system holding period
- Best use
- Make entry, exit and abstention rules testable as one procedure.
- Input: Rule inputs, market state and execution constraints.
- Output: signal.
- Use boundary: Make entry, exit and abstention rules testable as one procedure.
The graph1
How the method is built, and where it has been read
Depends on
Often reviewed together
Opening auction strategy5 readings
Read in the archive10 readings
2003Listed auction accommodation and open-book execution2004Reading auction signals to choose an open, a close, or a VWAP path2006A leftover clock that licenses offset-only market-at-close2007Carry-adjusted index premium for auction execution2008Two clocks on a public small-cap membership reset2008Opening gap limits and close imbalance orders2010Closing auction snapshots, fair value and pivot levels2012Listed auction imbalance and market-on-close execution2013Taking liquidity to offset HFT queue priority2014Sizing opening and closing auction orders to volume
This registry entry describes a research method. It is not investment advice and does not make a performance claim.