Gu, Gao-Feng; Ren, Fei; Ni, Xiao-Hui; Chen, Wei; Zhou, … - arXiv.org - 2009
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...