Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions

Abstract : 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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Chapitre d'ouvrage
Springer. New Perspectives and Challenges in Econophysics and Sociophysics, In press, 978-3-030-11363-6. 〈10.1007/978-3-030-11364-3〉. 〈https://www.springer.com/us/book/9783030113636〉
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https://hal.archives-ouvertes.fr/hal-01829337
Contributeur : Damien Challet <>
Soumis le : mercredi 4 juillet 2018 - 08:37:52
Dernière modification le : jeudi 14 février 2019 - 19:06:24

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Damien Challet. Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions. Springer. New Perspectives and Challenges in Econophysics and Sociophysics, In press, 978-3-030-11363-6. 〈10.1007/978-3-030-11364-3〉. 〈https://www.springer.com/us/book/9783030113636〉. 〈hal-01829337〉

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