Dynamical regularities of US equities opening and closing auctions

TL;DR

This paper analyzes the evolution and dynamical properties of US equities opening and closing auction volumes, revealing how prices react to order imbalances and their mean-reverting behavior over time.

Contribution

It provides new insights into the dynamical behavior of auction prices and volumes, highlighting differences between opening and closing auctions in US equities.

Findings

Indicative match price is strongly mean-reverting.

Final auction price reacts differently based on imbalance events.

Indicative price tends to revert towards the mid price of the limit order book.

Abstract

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.