Pages: 30
Publication date: 2 April 2025
Authors: Paul Besson, Head of Quantitative Research & Ludovic Quily, Data Science & Quant Analyst
This new research investigates the types of limit orders that are most frequently used by participants at closing auctions, and also highlights the benefits for investors from leveraging Euronext Auction Volume Discovery (AVD) orders to interact against the residual imbalances remaining at the Close.
While closing auctions represent more than 25% of the multilateral addressable volume in Europe early 2026, the market impact at the Close is still rarely studied by academics.
In 2020, we published our first research paper on the Close “Better trading at the Close thanks to market impact models”, focusing on market orders and an analysis of the call phase.
In this new research paper "Better market impact at the close with residual imbalance", we further investigate the types of limit orders most frequently used by market participants. We then introduce a market impact model showing the impact of trading at the Close for both market orders and marketable orders. The study also highlights the size of residual imbalances remaining at the Close. These imbalances are now actionable following the launch of Euronext’s Auction Volume Discovery (AVD), a market feature that enables participants to interact with and manage residual imbalances more effectively.
Making the most of Euronext Closing Auctions
Replay the webinars and download the slides:
Webinar for Buy-Side Webinar for Sell-Side
The sessions reviewed who trades at the close and which order types are used, examined the market impact of both market and quasi-market orders, and demonstrated how large trade sizes can be executed with minimal market impact.
The webinars also covered the residual imbalance at the close price and how to leverage the Auction Volume Discovery (AVD) feature, which enables market participants to benefit opportunistically from this untapped liquidity.
For more insights and to receive a copy of the research paper, contact
QuantReports@euronext.com
For more information about Euronext Auction Volume Discovery, contact
Equities@euronext.com