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Dynamical regularities of US equities opening and closing auctions

Abstract : We first investigate static properties of opening and closing auctions such as typical auction volume relative to daily volume and order value distributions. We then show that the indicative match price is strongly mean-reverting because the imbalance is, which we link to strategic behavior. Finally, we investigate how the final auction price reacts to order placement, especially conditional on imbalance improving or worsening events and find a large difference between the opening and closing auctions, emphasizing the role of liquidity and simultaneous trading in the pre-open or open-market order book.
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https://hal.inria.fr/hal-01702726
Contributor : Damien Challet <>
Submitted on : Tuesday, April 21, 2020 - 12:57:13 PM
Last modification on : Thursday, July 2, 2020 - 9:12:02 AM

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Damien Challet, Nikita Gourianov. Dynamical regularities of US equities opening and closing auctions. Market microstructure and liquidity, World scientific publishing company, In press, ⟨10.1142/S2382626619500011⟩. ⟨hal-01702726⟩

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