Distribution of price and volume in a call auction
研究了集合竞价模型，推导了清算价格和成交量的精确与渐近无条件分布，发现价格分布具有厚尾特征，且可由订单不平衡导致。
We study a call auction model with general demand and supply curves. Buy and sell orders arrive randomly and, on average, generate these curves. The model generalizes several existing models. While only conditional distributions of the clearing price and traded volume have been mathematically described in the literature, we derive both the exact and asymptotic unconditional distributions of these quantities. We demonstrate the rapid convergence of the asymptotic distributions to the exact ones. The model is able to reproduce fat-tailed behaviour of the clearing price. In particular, we show that the quotes (bid and ask) inherit the tail behaviour of the demand and/or supply curves, and that fat tails in the price distribution may alternatively be caused by order imbalance.