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英文标题：
《Strategic behaviour and indicative price diffusion in Paris Stock
Exchange auctions》
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作者：
Damien Challet
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最新提交年份：
2018
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英文摘要：
We report statistical regularities of the opening and closing auctions of French equities, focusing on the diffusive properties of the indicative auction price. Two mechanisms are at play as the auction end time nears: the typical price change magnitude decreases, favoring underdiffusion, while the rate of these events increases, potentially leading to overdiffusion. A third mechanism, caused by the strategic behavior of traders, is needed to produce nearly diffusive prices: waiting to submit buy orders until sell orders have decreased the indicative price and vice-versa.
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中文摘要：
我们报告了法国股票开盘和收盘拍卖的统计规律，重点关注指示性拍卖价格的扩散特性。随着拍卖结束时间的临近，有两种机制在发挥作用：典型的价格变化幅度减小，有利于扩散不足，而这些事件的发生率增加，可能导致过度扩散。第三种机制是由交易者的战略行为引起的，需要产生近乎扩散的价格：等待提交买入订单，直到卖出订单降低了指示性价格，反之亦然。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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