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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

2003Opening indication, one-sided envelope, and the sector tape checkOpening auction strategy2003Opening auction fills and the post-print tapeOpening auction strategy2003Market-at-close orders, leftover imbalance size, and the ex-dividend pairs openMarket at close2004Opening auction envelopes and crutch pairsOpening auction strategy2004Constructing index volume for price-volume signalsVolume-price analysis2004Reading auction signals to choose an open, a close, or a VWAP pathOpening auction strategy2005Float shifts and the limits of volume as demandVolume-price analysis2005Decaying volume bands as leftover auction inventoryVolume profile2005A tape-reading case study of support, resistance, and breakout confirmationTape reading2005Overnight and regular session execution in Nasdaq 100 namesSession analysis2006Constructing the single-price open from overnight flowOpening auction strategy2006Opening and close auctions versus limit-laddersOpening auction strategy