Price formation in call auctions

In modern financial markets, most stock exchanges facilitate intraday continuous trading, where incoming buy and sell orders are immediately matched if possible. However, to start and stop trading and determine opening and closing prices, a standard call auction is usually conducted. In a call auction, orders are aggregated for a period of time without immediately giving rise to transactions, after which all possible transactions are executed against a single clearing price, which is the price that maximizes volume. This thesis is concerned with the study of price formation in these call auctions, aiming to shed light on the question how supply and demand of market participants eventually lead to clearing prices and transactions, both theoretically and empirically.