Continuous Versus Intermittent Trading on Auction Markets

Seymour Smidt

Journal of Financial and Quantitative Analysis, 1979, vol. 14, issue 4, 837-866

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.

Date: 1979
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