The new Trading InfoSnack Closing Auctions: What’s Hanging in the Balance? analyses the evolution in closing auction activity, looking at price deviation, volume development and the closing auction imbalance in Swiss Blue Chip securities from 2015 to 2020 – the period corresponding to the growth in liquidity executed in the closing auction.

In the article, the Equity experts of the Swiss Stock Exchange tackle several key questions: Which changes regarding prices and volumes occur as the closing auction session progresses? How does the balance of buy and sell orders participating in the closing uncross develop? Which is the key determinant of an auction imbalance? And what does it all mean for the overall efficiency of trading at the close?

Insights on Relevant Trading and Market Structure Topics
The Trading InfoSnack articles are brief but insightful research features that provide commentary on market relevant trends, models and microstructure that influence the trading of Swiss securities, underpinned by in-depth analysis from the Equities team of the Swiss Stock Exchange.

Whilst the specific focus of Trading InfoSnacks will be on the trading of Swiss securities, the approaches and perspectives constructed also have more broad application across the EU securities trading landscape. The articles will therefore be of interest to trading and market structure professionals with a focus on the EMEA region.

Previous Trading InfoSnacks
The previous Trading InfoSnacks Back to the Future(s) and What’s in a Liquidity Smile? pointed out how a dislocation between cash and futures markets demonstrates how a market structure change – such as an outage – in one market can have wider ramifications in the securities trading ecosystem, as well as providing insight into how the shape of the liquidity smile evolves over time and is influenced by different trading models and market events.

All Trading InfoSnacks are also available on our website.

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At the Swiss Stock Exchange, quality comes as standard. This applies to the performance and stability of our trading infrastructure, the liquidity, prices and spreads in our order books and our services in the listing, trading and post-trading space. As the clear reference market for all SMI shares, the Swiss Stock Exchange gives you the highest liquidity, the best prices and the tightest spreads. Find out more.