  Equity auctions display several distinctive characteristics in contrast to
continuous trading. As the auction time approaches, the rate of events
accelerates causing a substantial liquidity buildup around the indicative
price. This, in turn, results in a reduced price impact and decreased
volatility of the indicative price. In this study, we adapt the latent/revealed
order book framework to the specifics of equity auctions. We provide precise
measurements of the model parameters, including order submissions,
cancellations, and diffusion rates. Our setup allows us to describe the full
dynamics of the average order book during closing auctions in Euronext Paris.
These findings support the relevance of the latent liquidity framework in
describing limit order book dynamics. Lastly, we analyze the factors
contributing to a sub-diffusive indicative price and demonstrate the absence of
indicative price predictability.
