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, emphasizing the role of liquidity and simultaneous trading in the pre-open or open-market order book .
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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static properties
the evolution
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such as typical auction volume relative to daily volume and order value distributions
volumes of US equities along the years
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show that
report dynamical properties of pre-auction periods:
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, which we link to strategic behavior. Finally, we investigate how
;
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order placement, especially conditional
a single auction order placement or cancellation in markedly different ways in the opening and closing auctions when computed conditionally
R
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
; the indicative price reverts towards the mid price of the regular limit order book but is not especially bound to the spread