Heavy tailed distributions in closing auctions

We study the tails of closing auction return distributions for a sample liquid European stocks. use stochastic call model Derksen et al. [1] to derive relation between tail exponents limit order placement and resulting distribution we verify this empirically. Counter-intuitively, large price fluctuations are typically not caused by market orders, instead become heavier when orders removed. The explains observation that submitted so as counter existing imbalance. • Derksen, Kleijn de Vilder, Quantitative Finance 20 (9) implies analytical relations distributions. Relations verified empirically with data 100 Large deviations in general surplus, another empirical observation: participants behave strategically, submitting