Dynamical regularities of US equities opening and closing auctions
We first investigate the evolution of opening and closing auction volumes of US equities along the years. We then report the 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...
| Автори: | , |
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| Формат: | Journal article |
| Мова: | English |
| Опубліковано: |
World Scientific Publishing Company
2019
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| _version_ | 1826289499908341760 |
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| author | Challet, D Gourianov, N |
| author_facet | Challet, D Gourianov, N |
| author_sort | Challet, D |
| collection | OXFORD |
| description | We first investigate the evolution of opening and closing auction volumes of US equities along the years. We then report the 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. |
| first_indexed | 2024-03-07T02:29:49Z |
| format | Journal article |
| id | oxford-uuid:a6db539d-fd6c-431a-8c04-5e2de5a1e047 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T02:29:49Z |
| publishDate | 2019 |
| publisher | World Scientific Publishing Company |
| record_format | dspace |
| spelling | oxford-uuid:a6db539d-fd6c-431a-8c04-5e2de5a1e0472022-03-27T02:50:26ZDynamical regularities of US equities opening and closing auctionsJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:a6db539d-fd6c-431a-8c04-5e2de5a1e047EnglishSymplectic Elements at OxfordWorld Scientific Publishing Company2019Challet, DGourianov, NWe first investigate the evolution of opening and closing auction volumes of US equities along the years. We then report the 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. |
| spellingShingle | Challet, D Gourianov, N Dynamical regularities of US equities opening and closing auctions |
| title | Dynamical regularities of US equities opening and closing auctions |
| title_full | Dynamical regularities of US equities opening and closing auctions |
| title_fullStr | Dynamical regularities of US equities opening and closing auctions |
| title_full_unstemmed | Dynamical regularities of US equities opening and closing auctions |
| title_short | Dynamical regularities of US equities opening and closing auctions |
| title_sort | dynamical regularities of us equities opening and closing auctions |
| work_keys_str_mv | AT challetd dynamicalregularitiesofusequitiesopeningandclosingauctions AT gourianovn dynamicalregularitiesofusequitiesopeningandclosingauctions |