中国股票市场开盘集合竞价的实证研究
Empirical regularities of opening call auction in Chinese stock market
摘要：
利用2003年深圳证券交易所22只流通股的超高频数据，研究了开盘集合竞价的统计特征。相对价格是指开盘集合竞价的指令价格与最后一个交易日收盘价格之间的相对差值，其分布是不对称的，在相对价格为零时出现一个尖峰，在相对价格为负时出现一个较宽的尖峰。采用去趋势波动分析（DFA）方法研究了相对订单价格的长期记忆性。我们进一步研究了开放式集合竞价中订单规模的统计分布，发现了一种数量偏好现象，称为订单规模聚类。订单规模的概率密度函数（PDF）可以用$q$ -Gamma函数很好地拟合，订单规模也存在长期记忆。此外，在开盘集合竞价后立即建立的限价订单簿中，平均成交量和平均订单数均随着价格水平远离最佳买入价或卖价价而呈指数下降，并观察到价格聚集现象。
英文摘要：
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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