Opening Auction Mechanics - Quant Trader Interview Question
Difficulty: Medium
Category: Market Microstructure
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Topics: market-microstructure, auction-theory, order-book
Problem Description
During the opening auction of a stock, a large number of buy and sell orders accumulate before the market officially opens. The exchange then determines a single opening price at which the maximum number of shares can be traded. Assume all orders are limit orders and will not execute if the determined price does not meet their price requirements.
Which of the following best describes the objective function that the exchange is attempting to maximize when determining the opening price?
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