Empirical regularities of opening call auction in Chinese stock market

Gao-Feng Gu, Fei Ren, Xiao-Hui Ni, Wei Chen and Wei-Xing Zhou

Physica A: Statistical Mechanics and its Applications, 2010, vol. 389, issue 2, 278-286

Abstract: We study the statistical regularities of an opening call auction using the ultra-high-frequency data of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. The distribution of the relative price, defined as the relative difference between the order price in the opening call auction and the closing price on the last trading day, is asymmetric and that the distribution displays a sharp peak at the zero relative price and a relatively wide peak at the negative relative price. The detrended fluctuation analysis (DFA) method is adopted to investigate the long-term memory of relative order prices. We further study the statistical regularities of order sizes in the opening call auction, and observe a phenomenon of number preference, known as order size clustering. The probability density function (PDF) of order sizes could be well fitted by a q-Gamma function, and the long-term memory also exists in order sizes. In addition, both the average volume and the average number of orders decrease exponentially with the price level away from the best bid or ask price level in the limit-order book (LOB) established immediately after the opening call auction, and a price clustering phenomenon is observed.

Keywords: Econophysics; Order-driven markets; Opening call auction; Limit-order book; Microstructure theory (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (9)

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Working Paper: Empirical regularities of opening call auction in Chinese stock market (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:389:y:2010:i:2:p:278-286

DOI: 10.1016/j.physa.2009.09.019

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