Dynamical Regularities of US Equities Opening and Closing Auctions
15 Pages Posted: 13 Feb 2018
Date Written: February 7, 2018
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: Suggested Citation