Research method
Opening auction strategy
Opening 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 graph5
How the method is built, and where it has been read
Depends on
Often reviewed together
Pairs trading4 readings
Often reviewed together
Order flow analysis4 readings
Often reviewed together
Market at close4 readings
Often reviewed together
Tape reading5 readings
Often reviewed together
Closing auction strategy5 readings
Read in the archive24 of 28 readings
2000The listed cash open as a three-clock execution problem2002Opening-only orders, posted stops, and paper fills as first-class rules2002Opening auction grids and shakeout-resistant exits2003Opening auction indications, premium and print size2003Opening-only limits and priced exits2003Listed open order routing and the short-sale tape2003Listed auction accommodation and open-book execution2003Opening indication, one-sided envelope, and the sector tape check2003Opening auction fills and the post-print tape2004Opening auction envelopes and crutch pairs2004Specialist prints, opening exits and live tape filters2004Constructing the cash open from futures fair value2004Reading auction signals to choose an open, a close, or a VWAP path2005Pre-open indications, limit fills, and morning levels2005Pair-bias bands and opening-print priority2006Constructing the single-price open from overnight flow2006Opening and close auctions versus limit-ladders2006A leftover clock that licenses offset-only market-at-close2007Carry-adjusted index premium for auction execution2008A case study of checklist-driven opening-auction and pairs work2008Close imbalance prints as an exit filter2008Opening auction, market making, and arbitrage as a capital business2008Opening gap limits and close imbalance orders2010Same-side opening auctions and pair use of capital
This registry entry describes a research method. It is not investment advice and does not make a performance claim.