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Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions

Damien Challet ()

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Abstract: We report statistical regularities of the opening and closing auctions of French equities, focusing on the diffusive properties of the indicative auction price. Two mechanisms are at play as the auction end time nears: the typical price change magnitude decreases, favoring underdiffusion, while the rate of these events increases, potentially leading to overdiffusion. A third mechanism, caused by the strategic behavior of traders, is needed to produce nearly diffusive prices: waiting to submit buy orders until sell orders have decreased the indicative price and vice-versa.

Date: 2018-07
New Economics Papers: this item is included in nep-des, nep-fmk and nep-knm
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http://arxiv.org/pdf/1807.00573 Latest version (application/pdf)

Related works:
Working Paper: Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions (2019)
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