英文标题：
《Dynamical regularities of US equities opening and closing auctions》
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作者：
Damien Challet and Nikita Gourianov
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最新提交年份：
2018
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英文摘要：
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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中文摘要：
我们首先研究了美国股票开盘和收盘拍卖量多年来的演变。然后，我们报告了拍卖前阶段的动态特性：指示性匹配价格是强均值回复的，因为不平衡是；在开盘和收盘拍卖中，当根据不平衡改善或恶化事件有条件计算时，最终拍卖价格对单个拍卖订单下达或取消的反应方式明显不同；指示性价格恢复到常规限额订单的中间价格，但并不特别受价差的约束。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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