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Continuous Versus Intermittent Trading on Auction Markets

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  • Smidt, Seymour

Abstract

The first hypothesis underlying this study is that successive transactions exhibit systematic patterns. These patterns will be studied to better understand (1) the processes by which transactions are arranged, (2) the costs of transacting, and (3) the statistical characteristics of the reported transactions prices and their relationship to the market equilibrium. This study will not directly consider market efficiency, though its results may eventually lead to more searching and meaningful studies of market efficiency.

Suggested Citation

  • Smidt, Seymour, 1979. "Continuous Versus Intermittent Trading on Auction Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(4), pages 837-866, November.
    • Handle: RePEc:cup:jfinqa:v:14:y:1979:i:04:p:837-866_00
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    Cited by:

    1. Cheng Guo & Jinwu Gao, 2017. "Optimal dealer pricing under transaction uncertainty," Journal of Intelligent Manufacturing, Springer, vol. 28(3), pages 657-665, March.

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