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...
| Autors principals: | , |
|---|---|
| Format: | Journal article |
| Idioma: | English |
| Publicat: |
World Scientific Publishing Company
2019
|