  The call auction is a widely used trading mechanism, especially during the
opening and closing periods of financial markets. In this paper, we study a
standard call auction problem where orders are submitted according to Poisson
processes, with random prices distributed according to a general distribution,
and may be cancelled at any time. We compute the analytical expressions of the
distributions of the traded volume, of the lower and upper bounds of the
clearing prices, and of the price range of these possible clearing prices of
the call auction. Using results from the theory of order statistics and a
theorem on the limit of sequences of random variables with independent random
indices, we derive the weak limits of all these distributions. In this setting,
traded volume and bounds of the clearing prices are found to be asymptotically
normal, while the clearing price range is asymptotically exponential. All the
parameters of these distributions are explicitly derived as functions of the
parameters of the incoming orders' flows.
