---
title: Trading Volume Shifts and Market Quality
url: https://www.ml-quant.com/papers/ssrn/4757345/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4757345
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4757345
featured: 2024-03-13
citations: unknown
topic: Trading, Microstructure & Execution
---


# Trading Volume Shifts and Market Quality

The study reveals that high-volume closing auctions distort the closing price and reduce intraday liquidity in major European markets.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4757345
- Identifier: SSRN 4757345
- Released: 2024-03-13
- First featured: Quant Letter No. 40 (2024-03-13): https://www.ml-quant.com/issues/2024-03-13/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Trading, Microstructure & Execution

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