Welcome to European Tribune. It's gone a bit quiet around here these days, but it's still going.
In particular I like the way the day closing prices are fixed in some market: everyone has five minutes to put all their buy and sell orders in the book (with no execution), then the price is set to the level that maximise volume and all relevant trades are done at this level. Doing that something like four times a day would be largely enough. If there's a news too close to the five minute, the exchange can delay by 30 minutes or one hour and that's it.
Most exchanges have opening and closing auctions, I suppose to avoid orders piling up the way they do on e-bay.

Nothing is 'mere'. — Richard P. Feynman
by Migeru (migeru at eurotrib dot com) on Thu Sep 7th, 2006 at 04:00:09 PM EST
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