摘要翻译：
本文利用2003年深圳证券交易所22只流动性股票的超高频数据，研究开盘集合竞价的统计规律。相对价格的分布是不对称的，即开盘集合竞价的订单价格与上个交易日收盘价之间的相对差，在相对价格为零的情况下表现出一个尖峰，在相对价格为负的情况下表现出一个较宽的峰值。采用离散波动分析(DFA)方法研究了相对订单价格的长期记忆性。我们进一步研究了开盘集合竞价中订单规模的统计规律，并观察到了一种数量偏好现象，即订单规模聚类。顺序大小的概率密度函数可以很好地用$q$-γ函数拟合，并且顺序大小也存在长时记忆。此外，在开盘集合竞价后立即建立的限价盘簿(LOB)中，平均成交量和平均订单数都随着价格水平远离最佳买卖价格水平而呈指数下降，并观察到价格聚类现象。
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英文标题：
《Empirical regularities of opening call auction in Chinese stock market》
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作者：
Gao-Feng Gu, Fei Ren, Xiao-Hui Ni, Wei Chen, Wei-Xing Zhou
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
  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 closing price of last trading day, is asymmetric and that the distribution displays a sharp peak at zero relative price and a relatively wide peak at negative relative price. The detrended fluctuation analysis (DFA) method is adopted to investigate the long-term memory of relative order prices. We further study the statistical regularities of order sizes in opening call auction, and observe a phenomenon of number preference, known as order size clustering. The probability density function (PDF) of order sizes could be well fitted by a $q$-Gamma function, and the long-term memory also exists in order sizes. In addition, both the average volume and the average number of orders decrease exponentially with the price level away from the best bid or ask price level in the limit-order book (LOB) established immediately after the opening call auction, and a price clustering phenomenon is observed.
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PDF链接：
https://arxiv.org/pdf/0905.0582