Title: Dynamical regularities of US equities opening and closing auctions,
Abstract: We first investigate the evolution of opening and closing auctions volumes of
US equities along the years. We then report dynamical properties of pre-auction
periods: the indicative match price is strongly mean-reverting because the
imbalance is; the final auction price reacts to a single auction order
placement or cancellation in markedly different ways in the opening and closing
auctions when computed conditionally on imbalance improving or worsening
events; the indicative price reverts towards the mid price of the regular limit
order book but is not especially bound to the spread.