Research method
Market at close
Market at close is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Research filter
- Input
- Order book, spread, volume, auction and trading costs
- Horizon
- Seconds to the order life cycle
- Best use
- Choose an executable order and account for implementation cost.
- Input: Order book, spread, volume, auction and trading costs.
- Output: filter.
- Use boundary: Choose an executable order and account for implementation cost.
The graph1
How the method is built, and where it has been read
Depends on
Often reviewed together
Opening auction strategy4 readings
Read in the archive10 readings
1993Thursday's last S&P 500 print is not the Friday settlement2003Market-at-close orders, leftover imbalance size, and the ex-dividend pairs open2004The last hour as a stack of forced executions2006Opening and close auctions versus limit-ladders2006A leftover clock that licenses offset-only market-at-close2008Two clocks on a public small-cap membership reset2008Close imbalance prints as an exit filter2008Depth, close imbalances, and pairs on one clock2008Opening gap limits and close imbalance orders2012Listed auction imbalance and market-on-close execution
This registry entry describes a research method. It is not investment advice and does not make a performance claim.