Building a Better Stock Market: The Call Auction Alternative

Building a Better Stock Market: The Call Auction Alternative examines the structure and mechanics of securities trading, with a focus on periodic call auctions as an alternative to continuous trading. The book analyzes how different market structures impact price discovery, liquidity, and transaction costs. Through empirical research and market analysis, Schwartz demonstrates the potential advantages of call auction mechanisms over continuous trading systems. The text presents evidence from multiple international exchanges and trading venues that have implemented various forms of call auctions. The book includes technical details of auction design, order handling procedures, and pricing algorithms used in call auction systems. Market quality metrics and performance measures are evaluated across different trading mechanisms. This work contributes to the ongoing debate about optimal market structure and challenges conventional assumptions about continuous trading as the superior mechanism for price formation. The analysis speaks to fundamental questions about market efficiency and the relationship between trading protocols and market quality.

There are not enough internet reviews to create a summary of this book. Instead, here is a summary of reviews of Robert A. Schwartz's overall work: Readers consistently cite Schwartz's clear explanations of complex market mechanisms and trading systems. Finance professionals and students note his ability to break down technical concepts about market structure into understandable components. What readers liked: - Practical examples that illustrate theoretical concepts - Detailed analysis of trading systems and market dynamics - Academic rigor balanced with real-world applications What readers disliked: - Dense technical language in some sections - Limited coverage of newer electronic trading developments - High price point of academic texts Ratings across platforms: Amazon: 4.1/5 (62 reviews total across all books) Goodreads: 3.8/5 (89 ratings) A common reader comment notes: "Provides deep institutional trading insights, but requires significant background knowledge." Several practitioners mention using his books as reference materials, with one trader stating: "I return to Schwartz's explanations of auction mechanisms repeatedly in my work."

Market Structure and Market Quality by Larry Harris A comprehensive analysis of how trading mechanisms and market structures impact price discovery, liquidity, and transaction costs.

Trading and Exchanges: Market Microstructure for Practitioners by Larry Harris An examination of market microstructure theory with insights into trading systems, order types, and exchange operations.

Market Microstructure Theory by Maureen O'Hara A technical exploration of how market structures influence price formation, information flow, and trading behavior.

Electronic and Algorithmic Trading Technology by Kendall Kim A detailed study of automated trading systems and their role in modern market infrastructure.

The Economics of Market Microstructure by Daniel F. Spulber An analysis of market intermediation processes and the economic principles behind different trading mechanisms.

🔷 The call auction system discussed in this book can reduce market volatility by aggregating trades into discrete time intervals, rather than allowing continuous trading throughout the day. 🔷 Author Robert A. Schwartz is the Marvin M. Speiser Professor of Finance at Baruch College, CUNY, and has been studying market structure and trading mechanisms for over 40 years. 🔷 Call auctions were actually the dominant form of trading before electronic markets became prevalent, and are still used today at market openings and closings on many exchanges. 🔷 The NYSE utilized call auction trading exclusively until 1871, when it began to also allow continuous trading throughout the day. 🔷 Studies referenced in the book show that call auctions can be particularly beneficial for small-cap stocks and emerging markets, where continuous trading often leads to wider bid-ask spreads and lower liquidity.