Open Sesame: Alternative Opening Algorithms in Securities Markets

Many securities markets use special protocols to open trading at the start of the day or following periods of non-trading caused by exchange halts or other occurrences. This chapter reviews the major opening procedures currently in use and evaluates their relative advantages and disadvantages from a practical viewpoint. In particular, we provide a detailed survey of existing opening protocols on several markets including the New York Stock Exchange, Paris Bourse, Globex, and various new automated systems. The experience from these systems is applied towards an evaluation of proposals for new opening systems.

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