11 окт. 2023 г. · Through the first three quarters of 2023, the NYSE Closing Auction typically sees an average of 300 million shares ($17.8bn) trading on a normal ...

The NYSE closing auction is the busiest time in the US equity market trading day, when over 200 million shares are traded.

29 авг. 2024 г. · As of August 2024, this lead has widened further and Closing D-Orders now account for over 46% of the NYSE Closing Auction executed volume, more ...

11 янв. 2024 г. · The NYSE Closing Auction remains the largest equity liquidity event, trading on average more than $18bn per day1. We have previously studied ...

We use a linear regression model to predict closing auction volume on Paired Qty and Imbalance Qty. We run the regression every 30 seconds in the last 6 ...

22 июн. 2022 г. · While the auction accounts for nearly 10% of daily trading volume in NYSE-listed S&P 500 securities, there is substantial additional volume ...

15 мар. 2023 г. · The NYSE Closing Auction remains the largest liquidity event in the equities market, with an average notional value traded of more than $18bn ...

Closing auctions account for 7.5% of daily volume in 2018, up from 3.1% in 2010. · Closing prices typically match pre-close bid or ask prices. · Auction price ...

The trading volume in closing auctions has grown significantly in recent years, increasing from about 3% of the trading volume in 2010 to about 10% in 2019.