  Using high-quality data, we report several statistical regularities of equity
auctions in the Paris stock exchange. First, the average order book density is
linear around the auction price at the time of auction clearing and has a large
peak at the auction price. While the peak is due to slow traders, the order
density shape is the result of subtle dynamics. The impact of a new market
order or cancellation at the auction time can be decomposed into three parts as
a function of the size of the additional order: (1) zero impact, caused by the
discrete nature of prices, sometimes up to a surprisingly large additional
volume relative to the auction volume (2) linear impact for additional orders
up to a large fraction of the auction volume (3) for even larger orders price
impact is non-linear, frequently super-linear.
