Closing price auction is another name for the closing auction, the call auction that an exchange holds at the end of the trading day to establish each security's official closing price. The longer name stresses the purpose of the session, which is to produce a closing price from many orders at once and not from whatever the last trade happened to be.
In outline, continuous trading stops, orders are collected for a few minutes without being executed, the exchange publishes an indicative price and volume, and at the end the matching system chooses the price at which the greatest quantity can trade. All eligible orders are filled at that single price. The procedure mirrors the opening auction at the start of the day.
The resulting price is used to value funds and portfolios, including the net asset value (NAV) of investment funds, and to calculate indices. Some exchanges use the term for specific order types or for a session of trading at the closing price that follows the auction; the exchange's rulebook defines the exact meaning on each venue.