Dynamical regularities of US equities opening and closing auctions
  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.
