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Dynamical regularities of US equities opening and closing auctions

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  • Damien Challet
  • Nikita Gourianov
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.

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  • Damien Challet & Nikita Gourianov, 2018. "Dynamical regularities of US equities opening and closing auctions," Papers 1802.01921, arXiv.org, revised Oct 2018.
    • Handle: RePEc:arx:papers:1802.01921
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    References listed on IDEAS

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    Cited by:

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

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