Dynamical regularities of US equities opening and closing auctions

Damien Challet; Nikita Gourianov

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arXiv · 1802.01921

Dynamical regularities of US equities opening and closing auctions

Damien Challet·Nikita Gourianov

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Abstract

We first investigate the evolution of opening and closing auctions volumes of US equities along the years. We then report 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.

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Damien Challet, Nikita Gourianov. 2018-02-06. Dynamical regularities of US equities opening and closing auctions. https://arxiv.org/abs/1802.01921

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