Journal article
Dynamical regularities of US equities opening and closing auctions
- Abstract:
- 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.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
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Access Document
- Files:
-
-
(Preview, Accepted manuscript, pdf, 1.4MB, Terms of use)
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- Publisher copy:
- 10.1142/s2382626619500011
Authors
- Publisher:
- World Scientific Publishing Company
- Journal:
- Market Microstructure and Liquidity More from this journal
- Volume:
- 4
- Issue:
- 01n02
- Article number:
- 1950001
- Publication date:
- 2019-05-15
- Acceptance date:
- 2019-02-11
- DOI:
- EISSN:
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2382-6266
- ISSN:
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2424-8037
- Language:
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English
- Keywords:
- Pubs id:
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pubs:999501
- UUID:
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uuid:a6db539d-fd6c-431a-8c04-5e2de5a1e047
- Local pid:
-
pubs:999501
- Source identifiers:
-
999501
- Deposit date:
-
2019-05-20
Terms of use
- Copyright holder:
- World Scientific Publishing Company
- Copyright date:
- 2019
- Rights statement:
- © 2019 World Scientific Publishing Company.
- Notes:
- This is the accepted manuscript version of the article. The final version is available online from the World Scientific Publishing Company at: https://doi.org/10.1142/S2382626619500011
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