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Dynamical regularities of US equities opening and closing auctions

Author

Listed:
  • Damien Challet

    (MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec)

  • Nikita Gourianov

    (Department of Physics [Oxford] - University of Oxford)

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.

Suggested Citation

  • Damien Challet & Nikita Gourianov, 2018. "Dynamical regularities of US equities opening and closing auctions," Post-Print hal-01702726, HAL.
    • Handle: RePEc:hal:journl:hal-01702726
    DOI: 10.1142/S2382626619500011
    Note: View the original document on HAL open archive server: https://inria.hal.science/hal-01702726
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    References listed on IDEAS

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    10. Damien Challet, 2018. "Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions," Papers 1807.00573, arXiv.org.
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    Cited by:

    1. Mohammed Salek & Damien Challet & Ioane Muni Toke, 2023. "Price impact in equity auctions: zero, then linear," Working Papers hal-03938660, HAL.
    2. Damien Challet, 2018. "Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions," Papers 1807.00573, arXiv.org.

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    More about this item

    Keywords

    Liquidity; Auctions; US equities; Linear response; Imbalance;
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