文献类型：期刊文献

英文题名：Empirical regularities of opening call auction in Chinese stock market

作者：Gu, Gao-Feng[1,2,3];Ren, Fei[1,2,4];Ni, Xiao-Hui[1,2,3];Chen, Wei[5];Zhou, Wei-Xing[1,2,3,4,6]

机构：[1]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[3]E China Univ Sci & Technol, Sch Sci, Shanghai 200237, Peoples R China;[4]E China Univ Sci & Technol, Minist Educ, Engn Res Ctr Proc Syst Engn, Shanghai 200237, Peoples R China;[5]Shenzhen Stock Exchange, Shenzhen 518010, Peoples R China;[6]Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing 100080, Peoples R China

年份：2010

卷号：389

期号：2

起止页码：278

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20094212379833);WOS:【SSCI(收录号:WOS:000271844100010)，SCI-EXPANDED(收录号:WOS:000271844100010)】；

语种：英文

外文关键词：Econophysics; Order-driven markets; Opening call auction; Limit-order book; Microstructure theory

摘要：We study the statistical regularities of an opening call auction using the ultra-highfrequency 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 the opening call auction and the closing price on the last trading day, is asymmetric and that the distribution displays a sharp peak at the zero relative price and a relatively wide peak at the 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 the 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. (C) 2009 Elsevier B.V. All rights reserved.