Heavy tailed distributions in closing auctions

DOI10.1016/J.PHYSA.2022.126959MaRDI QIDQ2669415zbMATH OpenOpenAlexFDO

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

Publication date 9 March 2022

Published in Physica A (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

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)

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Cites work

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

Describes a project that uses

Uses Software

• plfit

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