Before revision:  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, emphasizing the role of liquidity and simultaneous trading in the pre-open or open-market order book .
After revision:  We then show that the indicative match price is strongly mean-reverting because the imbalance is ; 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, emphasizing the role of liquidity and simultaneous trading in the pre-open or open-market order book .