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Research topic75 readings

Auction and volume

Auction and volume within execution-and-market-microstructure.

FieldExecution and market microstructure317 readings
The registry

Entries in this field

6 entries

M

Market profile

O

Open interest analysis

S

Session analysis

V

Volume confirmationVolume profileVolume-weighted average price
The archive75 readings

Readings on this topic

1989Treasury auction-rollover as yield-to-price series constructionFutures rollover management1989Constructing value maps from auction volume overlaysMarket profile1990Incomplete volume-at-price samples and auction readsMarket profile1990Constructing overlay profiles to map auction valueMarket profile1990Constructing daily overlay profiles for auction brackets and breaksMarket profile1990Volume-confirmed facilitation as an execution gate for half-hour breakoutsMarket profile1991Closing the feedback loop in auction market simulationsMonte Carlo simulation1991Overnight versus session decomposition of futures barsSession analysis1991Constructing auction fuel from volume and open interestOpen interest analysis1992Volume-box construction with named spreadsheet macrosMarket profile1992Converting OHLC, session, and rollover series for analysisOHLC bar construction1993Commercial volume caps outside the value areaMarket profile