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Dynamical regularities of US equities opening and closing auctions

Damien Challet () and Nikita Gourianov

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Abstract: We first investigate the evolution of opening and closing auctions volumes of US equities along the years. We then report dynamical properties of pre-auction periods: the indicative match price is strongly mean-reverting because the imbalance is; the final auction price reacts to a single auction order placement or cancellation in markedly different ways in the opening and closing auctions when computed conditionally on imbalance improving or worsening events; the indicative price reverts towards the mid price of the regular limit order book but is not especially bound to the spread.

Date: 2018-02, Revised 2018-10
New Economics Papers: this item is included in nep-des and nep-mst
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Working Paper: Dynamical regularities of US equities opening and closing auctions (2019) Downloads
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Handle: RePEc:arx:papers:1802.01921