论文标题
闭幕拍卖中的重型尾部分布
Heavy tailed distributions in closing auctions
论文作者
论文摘要
我们研究关闭欧洲流动库存样本的关闭拍卖回报分布的尾巴。我们使用Derksen等人的随机称为拍卖模型。 （2020a），为了得出极限顺序放置分布的尾部指数与所得关闭拍卖回报分布的尾部指数之间的关系，我们通过经验验证了这一关系。违反直觉的，大量的收盘价波动通常不是由大型市场订单引起的，而是在删除市场订单时会变得更重。该模型通过观察到提交限制订单以应对现有的市场订单不平衡的观察来解释这一点。
We study the tails of closing auction return distributions for a sample of liquid European stocks. We use the stochastic call auction model of Derksen et al. (2020a), to derive a relation between tail exponents of limit order placement distributions and tail exponents of the resulting closing auction return distribution and we verify this relation empirically. Counter-intuitively, large closing price fluctuations are typically not caused by large market orders, instead tails become heavier when market orders are removed. The model explains this by the observation that limit orders are submitted so as to counter existing market order imbalance.
