Euronext’s latest quantitative research report examines the relationship between order book imbalance and the performance of periodic auction trading across European markets.
Publication date: 5 October 2026
Authors: Paul Besson, Head of Quantitative Research, Antoine Falck, Quantitative Researcher and Jacques Morin, Quantitative Researcher
In June 2026, we wrote a first paper on Periodic Auctions called “Where to best source passive liquidity: Periodic Auctions or Lit Markets?”, where we discussed the balance between the Markout improvements provided by Periodic Auctions versus the spread capture from passive trading in Lit Markets.
In this newest paper, we analyse over 100 listed stocks across Paris, Amsterdam and Milan to assess whether Periodic Auctions truly deliver neutral, high‑quality execution, and whether they have succeeded in removing latency arbitrage, especially under strong order book imbalances, and whether better trading outcomes could be obtained by passive trading in the Lit when imbalances are unfavourable.
Main findings are:
- When trading against order imbalances exceeding 75%, Periodic Auction Markouts worsen by –1 bp.
- Passive lit execution achieves better outcomes in the majority of such cases (60–63%).
- Around 20% of auction cancellations are triggered by low‑latency activity.
The report highlights that while Periodic Auctions remain an important trading tool, contextual liquidity assessment is essential to minimise adverse selection and ensure optimal outcomes.
Finally, we explain how to embed order book imbalance protection in a Periodic Auction set-up, thanks to Euronext’s upcoming midpoint execution solution designed to optimise safety and performance.
To explore these findings, and how Euronext can enhance your midpoint trading, complete the form:
download the full report