封闭拍卖中的重尾分布
Heavy tailed distributions in closing auctions
摘要：
我们研究了流动性欧洲股票样本的收盘拍卖收益率分布的尾部。我们使用Derksen等人（2020 a）的随机呼叫拍卖模型，推导出限价订单配置分布的尾部指数与最终收盘拍卖收益分布的尾部指数之间的关系，并实证验证了这一关系。与直觉相反，收盘价的大幅波动通常不是由大的市价订单引起的，相反，当市价订单被移除时，尾部变得更重。该模型解释了这一点的观察，限价订单提交，以对付现有的市价订单的不平衡。
英文摘要：
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
