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Empirical regularities of opening call auction in Chinese stock market

  • Gao-Feng Gu
  • Fei Ren
  • Xiao-Hui Ni
  • Wei Chen
  • Wei-Xing Zhou
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    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.

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    File URL: http://arxiv.org/pdf/0905.0582
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    Paper provided by arXiv.org in its series Papers with number 0905.0582.

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

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    1. 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.
    2. Nadarajah, Saralees & Kotz, Samuel, 2007. "On the q-type distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(2), pages 465-468.
    3. 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.
    4. 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, vol. 55(2), pages 161-167, 01.
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