Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions
Damien Challet
Post-Print from HAL
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: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (1)
Published in Springer. New Perspectives and Challenges in Econophysics and Sociophysics, , 2019, 978-3-030-11363-6. ⟨10.1007/978-3-030-11364-3⟩
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
Working Paper: Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions (2018) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01829337
DOI: 10.1007/978-3-030-11364-3
Access Statistics for this paper
More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().