Dynamical regularities of US equities opening and closing auctions

Damien Challet and Nikita Gourianov
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Nikita Gourianov: Department of Physics [Oxford] - University of Oxford

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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.

Keywords: Liquidity; Auctions; US equities; Linear response; Imbalance (search for similar items in EconPapers)
Date: 2018
New Economics Papers: this item is included in nep-des, nep-gen and nep-mst
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Citations: View citations in EconPapers (4)

Published in Market microstructure and liquidity, 2018, 4 (1-2), ⟨10.1142/S2382626619500011⟩

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Working Paper: Dynamical regularities of US equities opening and closing auctions (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01702726

DOI: 10.1142/S2382626619500011

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