C++ lambda followed by () vs. lambda without ()

What is the difference between these two blocks of code?

struct HighResClock
{
    typedef long long                               rep;
    typedef std::nano                               period;
    typedef std::chrono::duration<rep, period>      duration;
    typedef std::chrono::time_point<HighResClock>   time_point;
    static const bool is_steady = true;

    static time_point now();
};


namespace
{
    auto g_Frequency = []() -> long long
    {
        std::cout<<"HERE";
        LARGE_INTEGER frequency;
        QueryPerformanceFrequency(&frequency);
        return frequency.QuadPart;
    }();
}

HighResClock::time_point HighResClock::now()
{
    LARGE_INTEGER count;
    QueryPerformanceCounter(&count);
    return time_point(duration(count.QuadPart * static_cast<rep>(period::den) / g_Frequency));
}

int main()
{
    HighResClock c;
    c.now();
    c.now();
    c.now();
}

and

struct HighResClock
{
    typedef long long                               rep;
    typedef std::nano                               period;
    typedef std::chrono::duration<rep, period>      duration;
    typedef std::chrono::time_point<HighResClock>   time_point;
    static const bool is_steady = true;

    static time_point now();
};


namespace
{
    auto g_Frequency = []() -> long long
    {
        std::cout<<"HERE";
        LARGE_INTEGER frequency;
        QueryPerformanceFrequency(&frequency);
        return frequency.QuadPart;
    };
}

HighResClock::time_point HighResClock::now()
{
    LARGE_INTEGER count;
    QueryPerformanceCounter(&count);
    return time_point(duration(count.QuadPart * static_cast<rep>(period::den) / g_Frequency()));
}

int main()
{
    HighResClock c;
    c.now();
    c.now();
    c.now();
}

In case you did not notice, the difference is the bracket below:

auto g_Frequency = []() -> long long
{
    LARGE_INTEGER frequency;
    QueryPerformanceFrequency(&frequency);
    return frequency.QuadPart;
}(); //this bracket here appears in one and not the other..

I ask because the one with the bracket only prints "Here" once, whereas the other (without the bracket) prints it 3 times. What does the bracket mean and what does it do? Is there a name for this syntax with the bracket?