Price discovery and learning during the preopening period in the Paris bourse

Before the opening of the Paris Bourse, traders place orders and indicative prices are set. This offers a laboratory to study empirically the tatonnem ent process through which markets discover equilibrium prices. Since preope ning orders can be revised or canceled before the opening, indicative price s could be noise. We test this against the hypothesis that preopening price s reflect learning. Early in the preopening the noise hypothesis is not rej ected. As the opening gets closer, the informational content and efficiency of prices increase and the learning hypothesis is not rejected. We also pr opose a GMM-based estimate of the speed of learning.