Empirical regularities of opening call auction in Chinese stock market

Details Empirical regularities of opening call auction in Chinese stock market Empirical regularities of opening call auction in Chinese stock market

2009-05-05

arxiv.org/abs/0905.0582v1

Physica A 389 (2), 278-286 (2010)

Economy

Quantitative Finance

Statistical Finance

11 pages, 6 figures, 3 tables

Scientific paper

10.1016/j.physa.2009.09.019

We study the statistical regularities of opening call auction using the ultra-high-frequency data of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. The distribution of the relative price, defined as the relative difference between the order price in opening call auction and the closing price of last trading day, is asymmetric and that the distribution displays a sharp peak at zero relative price and a relatively wide peak at negative relative price. The detrended fluctuation analysis (DFA) method is adopted to investigate the long-term memory of relative order prices. We further study the statistical regularities of order sizes in opening call auction, and observe a phenomenon of number preference, known as order size clustering. The probability density function (PDF) of order sizes could be well fitted by a $q$-Gamma function, and the long-term memory also exists in order sizes. In addition, both the average volume and the average number of orders decrease exponentially with the price level away from the best bid or ask price level in the limit-order book (LOB) established immediately after the opening call auction, and a price clustering phenomenon is observed.

Affiliated with

Also associated with

No associations

Rating

Empirical regularities of opening call auction in Chinese stock market does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Empirical regularities of opening call auction in Chinese stock market, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Empirical regularities of opening call auction in Chinese stock market will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-450559