Gu, Gao-Feng; Ren, Fei; Ni, Xiao-Hui; Chen, Wei; Zhou, … - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 2, pp. 278-286
We study the statistical regularities of an 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 the opening call auction...