Browsing Conference Proceedings by Author "Goel, Saurabh"
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Pre-Opening Call Auction of Stock Price Discovery using Multivariate Lognormal Montecarlo Simulation
Goel, Saurabh; Bag, Dinabandhu (Indian Institute of Management, Ahmedabad, 2015)Market microstructure design and testing of efficient market hypotheses have been of long interest in security research. Market microstructure discussions also include the impact of call auctions in price discovery and ...