IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

Empirical regularities of opening call auction in Chinese stock market

Listed author(s):
  • Gao-Feng Gu
  • Fei Ren
  • Xiao-Hui Ni
  • Wei Chen
  • Wei-Xing Zhou
Registered author(s):

    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.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    File Function: Latest version
    Download Restriction: no

    Paper provided by in its series Papers with number 0905.0582.

    in new window

    Date of creation: May 2009
    Publication status: Published in Physica A 389 (2), 278-286 (2010)
    Handle: RePEc:arx:papers:0905.0582
    Contact details of provider: Web page:

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    in new window

    1. Nadarajah, Saralees & Kotz, Samuel, 2007. "On the q-type distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(2), pages 465-468.
    2. Shmuel Baruch, 2005. "Who Benefits from an Open Limit-Order Book?," The Journal of Business, University of Chicago Press, vol. 78(4), pages 1267-1306, July.
    3. S. M.D. Queirós & L. G. Moyano & J. de Souza & C. Tsallis, 2007. "A nonextensive approach to the dynamics of financial observables," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 55(2), pages 161-167, 01.
    4. Picoli, S. & Mendes, R.S. & Malacarne, L.C., 2003. "q-exponential, Weibull, and q-Weibull distributions: an empirical analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(3), pages 678-688.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:arx:papers:0905.0582. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.