Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions - Chaire de finance quantitative Accéder directement au contenu
Chapitre D'ouvrage Année : 2019

Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions

Résumé

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.

Dates et versions

hal-01829337 , version 1 (04-07-2018)

Identifiants

Citer

Damien Challet. Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions. Springer. New Perspectives and Challenges in Econophysics and Sociophysics, , 2019, 978-3-030-11363-6. ⟨10.1007/978-3-030-11364-3⟩. ⟨hal-01829337⟩
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