Dynamical Regularities of US Equities Opening and Closing Auctions

15 Pages Posted: 13 Feb 2018

See all articles by Damien Challet

Damien Challet

CentraleSupélec; Encelade Capital SA

Nikita Gourianov

University of Oxford

Date Written: February 7, 2018

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, which emphasizes the role of liquidity and simultaneous trading in the pre-open or open-market order book.

Keywords: auctions, US equities, linear response, imbalance, liquidity

JEL Classification: G12

Suggested Citation

Challet, Damien and Gourianov, Nikita, Dynamical Regularities of US Equities Opening and Closing Auctions (February 7, 2018). Available at SSRN: https://ssrn.com/abstract=3119537 or http://dx.doi.org/10.2139/ssrn.3119537

Damien Challet (Contact Author)

CentraleSupélec ( email )

Labo MICS
3, rue Joliot-Curie
Gif-sur-Yvette, 91192
France

Encelade Capital SA ( email )

Chemin du Bochet 8
Sulpice, 1025
Switzerland

Nikita Gourianov

University of Oxford ( email )

South Parks Road
Oxford, OX1 3QZ
United Kingdom

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