Heavy tailed distributions in closing auctions

DOI10.1016/j.physa.2022.126959OpenAlexW4207008816MaRDI QIDQ2669415

B. J. K. Kleijn, M. Derksen, Robin de Vilder

Publication date: 9 March 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.10145

zbMATH Keywords

heavy tailsstochastic modelsprice formationclosing pricesclosing auction

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Uses Software

• plfit

Cites Work

• Empirical distributions of stock returns: between the stretched exponential and the power law?
• Institutional Investors and Stock Market Volatility
• Power-Law Distributions in Empirical Data
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• What really causes large price changes?
• Empirical properties of asset returns: stylized facts and statistical issues
• Statistical properties of stock order books: empirical results and models
• The power of patience: a behavioural regularity in limit-order placement
• On the origin of power-law tails in price fluctuations
• Clearing price distributions in call auctions
• Large stock price changes: volume or liquidity?

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