Nothing Special   »   [go: up one dir, main page]

create a website
Modeling Price Clustering in High-Frequency Prices. (2021). Tomanov, Petra ; Hol, Vladim'Ir.
In: Papers.
RePEc:arx:papers:2102.12112.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 72

References cited by this document

Cocites: 26

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Ahn, H.-J., Cai, J., Cheung, Y. L. 2005. Price Clustering on the Limit-Order Book: Evidence from the Stock Exchange of Hong Kong. Journal of Financial Markets. Volume 8. Issue 4. Pages 421–451. ISSN 1386-4181. https://doi.org/10.1016/j.finmar.2005.07.001.

  2. Aitken, M., Brown, P., Buckland, C., Izan, H. Y., Walter, T. 1996. Price Clustering on the Australian Stock Exchange. Pacific-Basin Finance Journal. Volume 4. Issue 2-3. Pages 297–314.

  3. Alexander, G. J., Peterson, M. A. 2007. An Analysis of Trade-Size Clustering and Its Relation to Stealth Trading. Journal of Financial Economics. Volume 84. Issue 2. Pages 435–471. ISSN 0304-405X. https://doi.org/10.1016/j.jfineco.2006.02.005.

  4. Applied Economics. Volume 45. Issue 6. Pages 677–685. ISSN 0003-6846. https://doi.org/10. 1080/00036846.2011.610747.
    Paper not yet in RePEc: Add citation now
  5. Applied Economics. Volume 49. Issue 28. Pages 2766–2778. ISSN 0003-6846. https://doi.org/ 10.1080/00036846.2016.1248284.
    Paper not yet in RePEc: Add citation now
  6. Baig, A., Blau, B. M., Sabah, N. 2019. Price Clustering and Sentiment in Bitcoin. Finance Research Letters. Volume 29. Pages 111–116. ISSN 1544-6123. https://doi.org/10.1016/j. frl.2019.03.013.

  7. Ball, C. A., Torous, W. N., Tschoegl, A. E. 1985. The Degree of Price Resolution: The Case of the Gold Market. Journal of Futures Markets. Volume 5. Issue 1. Pages 29–43. ISSN 0270-7314. https://doi.org/10.1002/fut.3990050105.

  8. Barndorff-Nielsen, O. E., Hansen, P. R., Lunde, A., Shephard, N. 2008. Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise. Econometrica.

  9. Barndorff-Nielsen, O. E., Hansen, P. R., Lunde, A., Shephard, N. 2009. Realized Kernels in Practice: Trades and Quotes. Econometrics Journal. Volume 12. Issue 3. Pages 1–32. ISSN 1368-4221. https://doi.org/10.1111/j.1368-423X.2008.00275.x. Bharati, R., Crain, S. J., Kaminski, V. 2012. Clustering in Crude Oil Prices and the Target Pricing Zone Hypothesis. Energy Economics. Volume 34. Issue 4. Pages 1115–1123. ISSN 01409883. https://doi.org/10.1016/j.eneco.2011.09.009.

  10. Barndorff-Nielsen, O. E., Pollard, D. G., Shephard, N. 2012. Integer-Valued Lévy Processes and Low Latency Financial Econometrics. Quantitative Finance. Volume 12. Issue 4. Pages 587–605. ISSN 1469-7688. https://doi.org/10.1080/14697688.2012.664935.

  11. Blau, B. M. 2019. Price Clustering and Investor Sentiment. Journal of Behavioral Finance. Volume 20. Issue 1. Pages 19–30. ISSN 1542-7560. https://doi.org/10.1080/15427560.2018.1431887.

  12. Blau, B. M., Griffith, T. G. 2016. Price Clustering and the Stability of Stock Prices. Journal of Business Research. Volume 69. Issue 10. Pages 3933–3942. ISSN 0148-2963. https://doi.org/ 10.1016/j.jbusres.2016.06.008.

  13. Bollerslev, T. 1986. Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics.

  14. Bourguignon, M., Rodrigues, J., Santos-Neto, M. 2019. Extended Poisson INAR(1) Processes with Equidispersion, Underdispersion and Overdispersion. Journal of Applied Statistics. Volume 46.

  15. Box, T., Griffith, T. 2016. Price Clustering Asymmetries in Limit Order Flows. Financial Management. Volume 45. Issue 4. Pages 1041–1066. ISSN 0046-3892. https://doi.org/10.1111/ fima.12136.

  16. Brent, R. P. 1972. Algorithms for Minimization Without Derivatives. Englewood Cliffs. PrenticeHall. ISBN 978-0-13-022335-7. https://books.google.com/books?id=Ee5QAAAAMAAJ.
    Paper not yet in RePEc: Add citation now
  17. Brooks, R., Harris, E., Joymungul, Y. 2013. Price Clustering in Australian Water Markets.

  18. Brown, P., Mitchell, J. 2008. Culture and Stock Price Clustering: Evidence from The Peoples’ Republic of China. Pacific-Basin Finance Journal. Volume 16. Issue 1-2. Pages 95–120. ISSN 0927-538X. https://doi.org/10.1016/j.pacfin.2007.04.005.

  19. Buccheri, G., Bormetti, G., Corsi, F., Lillo, F. 2020. A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics.
    Paper not yet in RePEc: Add citation now
  20. Cai, B. M., Cai, C. X., Keasey, K. 2007. Influence of Cultural Factors on Price Clustering and Price Resistance in China’s Stock Markets. Accounting & Finance. Volume 47. Issue 4. Pages 623–641. ISSN 0810-5391. https://doi.org/10.1111/j.1467-629X.2007.00221.x. Capelle-Blancard, G., Chaudhury, M. 2007. Price Clustering in the CAC 40 Index Options Market. Applied Financial Economics. Volume 17. Issue 15. Pages 1201–1210. ISSN 0960-3107. https://doi.org/10.1080/09603100600949218.

  21. Chiao, C., Wang, Z. M. 2009. Price Clustering: Evidence Using Comprehensive Limit-Order Data.

  22. Chung, K. H., Van Ness, B. F., Van Ness, R. A. 2002. Spreads, Depths, and Quote Clustering on the NYSE and NASDAQ: Evidence after the 1997 Securities and Exchange Commission Rule Changes. Financial Review. Volume 37. Issue 4. Pages 481–505. ISSN 0732-8516. https: //doi.org/10.1111/1540-6288.00025.

  23. Chung, K. H., Van Ness, B. F., Van Ness, R. A. 2004. Trading Costs and Quote Clustering on the NYSE and NASDAQ after Decimalization. Journal of Financial Research. Volume 27. Issue 3. Pages 309–328. ISSN 0270-2592. https://doi.org/10.1111/j.1475-6803.2004.00096.x. Chung, K. H., Kim, K. A., Kitsabunnarat, P. 2005. Liquidity and Quote Clustering in a Market with Multiple Tick Sizes. Journal of Financial Research. Volume 28. Issue 2. Pages 177–195. ISSN 0270-2592. https://doi.org/10.1111/j.1475-6803.2005.00120.x. Cooney, J. W., Van Ness, B., Van Ness, R. 2003. Do Investors Prefer Even-Eighth Prices? Evidence from NYSE Limit Orders. Journal of Banking & Finance. Volume 27. Issue 4. Pages 719–748. ISSN 0378-4266. https://doi.org/10.1016/S0378-4266(01)00262-X.

  24. Das, S., Kadapakkam, P. R. 2020. Machine over Mind? Stock Price Clustering in the Era of Algorithmic Trading. The North American Journal of Economics and Finance. Volume 51. Pages 100831/1–100831/15. ISSN 1062-9408. https://doi.org/10.1016/j.najef.2018.08.014.

  25. Davis, R. L., Van Ness, B. F., Van Ness, R. A. 2014. Clustering of Trade Prices by High-Frequency and Non-High-Frequency Trading Firms. Financial Review. Volume 49. Issue 2. Pages 421–433.
    Paper not yet in RePEc: Add citation now
  26. Efron, B. 1986. Double Exponential Families and Their Use in Generalized Linear Regression.
    Paper not yet in RePEc: Add citation now
  27. Engle, R. F. 2000. The Econometrics of Ultra-High-Frequency Data. Econometrica. Volume 68.

  28. Engle, R. F., Russell, J. R. 1998. Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data. Econometrica. Volume 66. Issue 5. Pages 1127–1162. ISSN 0012-9682. https://doi.org/10.2307/2999632.

  29. European Financial Management. Volume 14. Issue 1. Pages 30–54. ISSN 1354-7798. https: //doi.org/10.1111/j.1468-036X.2007.00410.x. Kahn, C., Pennacchi, G., Sopranzetti, B. 1999. Bank Deposit Rate Clustering: Theory and Empirical Evidence. The Journal of Finance. Volume 54. Issue 6. Pages 2185–2214. ISSN 0022-1082. https://doi.org/10.1111/0022-1082.00185.

  30. Financial Review. Volume 44. Issue 1. Pages 1–29. ISSN 0732-8516. https://doi.org/10.1111/ j.1540-6288.2008.00208.x. Christie, W. G., Schultz, P. H. 1994. Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? The Journal of Finance. Volume 49. Issue 5. Pages 1813–1840. ISSN 0022-1082. https://doi.org/10.1111/j.1540-6261.1994.tb04782.x. Christie, W. G., Harris, J. H., Schultz, P. H. 1994. Why Did NASDAQ Market Makers Stop Avoiding Odd-Eighth Quotes? The Journal of Finance. Volume 49. Issue 5. Pages 1841–1860.

  31. Financial Review. Volume 48. Issue 1. Pages 77–96. ISSN 0732-8516. https://doi.org/10.1111/ j.1540-6288.2012.00353.x. Mbanga, C. L. 2019. The Day-of-the-Week Pattern of Price Clustering in Bitcoin. Applied Economics Letters. Volume 26. Issue 10. Pages 807–811. ISSN 1350-4851. https://doi.org/10.1080/ 13504851.2018.1497844.

  32. Goodhart, C., Curcio, R. 1991. The Clustering of Bid/Ask Prices and the Spread in the Foreign Exchange Market. Working Paper. https://www.fmg.ac.uk/publications/discussion-papers/ clustering-bidask-prices-and-spread-foreign-exchange-market.

  33. Gwilym, O., Clare, A., Thomas, S. 1998a. Price Clustering and Bid-Ask Spreads in International Bond Futures. Journal of International Financial Markets, Institutions and Money. Volume 8.

  34. Gwilym, O., Clare, A., Thomas, S. 1998b. Extreme Price Clustering in the London Equity Index Futures and Options Markets. Journal of Banking & Finance. Volume 22. Issue 9. Pages 1193–1206. ISSN 0378-4266. https://doi.org/10.1016/S0378-4266(98)00054-5.
    Paper not yet in RePEc: Add citation now
  35. Gwilym, O., Verousis, T. 2013. Price Clustering in Individual Equity Options: Moneyness, Maturity, and Price Level. Journal of Futures Markets. Volume 33. Issue 1. Pages 55–76. ISSN 0270-7314. https://doi.org/10.1002/fut.21547.

  36. Hameed, A., Terry, E. 1998. The Effect of Tick Size on Price Clustering and Trading Volume.

  37. Harris, L. 1991. Stock Price Clustering and Discreteness. Review of Financial Studies. Volume 4.

  38. Harvey, A. C. 2013. Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series. First Edition. New York. Cambridge University Press. ISBN 978-1107 -63002-4. https://doi.org/0.1017/cbo9781139540933.

  39. He, Y., Wu, C. 2006. Is Stock Price Rounded for Economic Reasons in the Chinese Markets? Global Finance Journal. Volume 17. Issue 1. Pages 119–135. ISSN 1044-0283. https://doi.org/10. 1016/j.gfj.2006.06.008.

  40. Heinen, A. 2003. Modelling Time Series Count Data: An Autoregressive Conditional Poisson Model. Working Paper. https://ssrn.com/abstract=1117187.

  41. Holý, V., Tomanová, P. 2020. Streaming Perspective in Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. Working Paper. https://arxiv.org/abs/2003.13062.

  42. Hu, B., Jiang, C., McInish, T., Zhou, H. 2017. Price Clustering on the Shanghai Stock Exchange.

  43. Hu, B., McInish, T., Miller, J., Zeng, L. 2019. Intraday Price Behavior of Cryptocurrencies.

  44. Ikenberry, D. L., Weston, J. P. 2008. Clustering in US Stock Prices After Decimalisation.

  45. Kandel, S., Sarig, O., Wohl, A. 2001. Do Investors Prefer Round Stock Prices? Evidence from Israeli IPO Auctions. Journal of Banking & Finance. Volume 25. Issue 8. Pages 1543–1551. ISSN 0378-4266. https://doi.org/10.1016/s0378-4266(00)00131-x.

  46. Koopman, S. J., Lit, R., Lucas, A. 2017. Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model. Journal of the American Statistical Association. Volume 112. Issue 520. Pages 1490–1503. ISSN 0162-1459. https://doi.org/10.1080/01621459.2017.1302878.

  47. Lallouache, M., Abergel, F. 2014. Tick Size Reduction and Price Clustering in a FX Order Book. Physica A: Statistical Mechanics and Its Applications. Volume 416. Pages 488–498. ISSN 0378-4371. https://doi.org/10.1016/j.physa.2014.09.016.

  48. Li, X., Li, S., Xu, C. 2020. Price Clustering in Bitcoin Market - An Extension. Finance Research Letters. Volume 32. Pages 101072/1:101072/9. ISSN 1544-6123. https://doi.org/10.1016/j. frl.2018.12.020.
    Paper not yet in RePEc: Add citation now
  49. Lien, D., Hung, P. H., Hung, I. C. 2019. Order Price Clustering, Size Clustering, and Stock Price Movements: Evidence from the Taiwan Stock Exchange. Journal of Empirical Finance. Volume 52. Pages 149–177. ISSN 0927-5398. https://doi.org/10.1016/j.jempfin.2019.03.005.

  50. Liu, H.-C. 2011. Timing of Price Clustering and Trader Behavior in the Foreign Exchange Market: Evidence from Taiwan. Journal of Economics and Finance. Volume 35. Issue 2. Pages 198–210.

  51. Liu, H.-C., Witte, M. D. 2013. Price Clustering in the U.S. Dollar/Taiwan Dollar Swap Market.

  52. Meng, L., Verousis, T., Gwilym, O. 2013. A Substitution Effect Between Price Clustering and Size Clustering in Credit Default Swaps. Journal of International Financial Markets, Institutions and Money. Volume 24. Issue 1. Pages 139–152. ISSN 1042-4431. https://doi.org/10.1016/j. intfin.2012.11.011.

  53. Mishra, A. K., Tripathy, T. 2018. Price and Trade Size Clustering: Evidence from the National Stock Exchange of India. The Quarterly Review of Economics and Finance. Volume 68. Pages 63–72. ISSN 1062-9769. https://doi.org/10.1016/j.qref.2017.11.006.

  54. Narayan, P. K., Narayan, S., Popp, S. 2011. Investigating Price Clustering in the Oil Futures Market. Applied Energy. Volume 88. Issue 1. Pages 397–402. ISSN 0306-2619. https://doi.org/ 10.1016/j.apenergy.2010.07.034.

  55. Narayan, P. K., Smyth, R. 2013. Has Political Instability Contributed to Price Clustering on Fiji’s Stock Market? Journal of Asian Economics. Volume 28. Pages 125–130. ISSN 1049-0078. https://doi.org/10.1016/j.asieco.2013.07.002.

  56. Niederhoffer, V. 1965. Clustering of Stock Prices. Operations Research. Volume 13. Issue 2.

  57. Niederhoffer, V. 1966. A New Look at Clustering of Stock Prices. The Journal of Business.
    Paper not yet in RePEc: Add citation now
  58. Ohta, W. 2006. An Analysis of Intraday Patterns in Price Clustering on the Tokyo Stock Exchange.

  59. Osborne, M. F. M. 1962. Periodic Structure in the Brownian Motion of Stock Prices. Operations Research. Volume 10. Issue 3. Pages 345–379. ISSN 0030-364X. https://doi.org/10.1287/opre. 10.3.345.

  60. Palao, F., Pardo, A. 2012. Assessing Price Clustering in European Carbon Markets. Applied Energy. Volume 92. Pages 51–56. ISSN 0306-2619. https://doi.org/10.1016/j.apenergy. 2011.10.022.

  61. Palmon, O., Smith, B. A., Sopranzetti, B. J. 2004. Clustering in Real Estate Prices: Determinants and Consequences. Journal of Real Estate Research. Volume 26. Issue 2. Pages 115–136.

  62. Robert, C. Y., Rosenbaum, M. 2011. A New Approach for the Dynamics of Ultra-High-Frequency Data: The Model with Uncertainty Zones. Journal of Financial Econometrics. Volume 9. Issue 2.

  63. Russell, J. R., Engle, R. F. 2005. A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model. Journal of Business & Economic Statistics. Volume 23. Issue 2. Pages 166–180.

  64. Schwartz, A. L., Van Ness, B. F., Van Ness, R. A. 2004. Clustering in the Futures Market: Evidence From S&P 500 Futures Contracts. Journal of Futures Markets. Volume 24. Issue 5.

  65. Sellers, K. F., Morris, D. S. 2017. Underdispersion Models: Models That Are "Under the Radar". Communications in Statistics - Theory and Methods. Volume 46. Issue 24. Pages 12075–12086.

  66. Shephard, N., Yang, J. J. 2017. Continuous Time Analysis of Fleeting Discrete Price Moves.

  67. Song, S., Wang, Y., Xu, G. 2020. On the Probability of Default in a Market with Price Clustering and Jump Risk. Mathematics and Financial Economics. Volume 14. Issue 2. Pages 225–247. ISSN 1862-9679. https://doi.org/10.1007/s11579-019-00253-x.
    Paper not yet in RePEc: Add citation now
  68. Sonnemans, J. 2006. Price Clustering and Natural Resistance Points in the Dutch Stock Market: A Natural Experiment. European Economic Review. Volume 50. Issue 8. Pages 1937–1950. ISSN 0014-2921. https://doi.org/10.1016/j.euroecorev.2005.09.001.

  69. Urquhart, A. 2017. Price Clustering in Bitcoin. Economics Letters. Volume 159. Pages 145–148.

  70. Volume 31. Issue 3. Pages 307–327. ISSN 0304-4076. https://doi.org/10.1016/ 0304-4076(86)90063-1.
    Paper not yet in RePEc: Add citation now
  71. Xu, H. Y., Xie, M., Goh, T. N., Fu, X. 2012. A Model for Integer-Valued Time Series with Conditional Overdispersion. Computational Statistics & Data Analysis. Volume 56. Issue 12.

  72. Zou, Y., Geedipally, S. R., Lord, D. 2013. Evaluating the Double Poisson Generalized Linear Model. Accident Analysis and Prevention. Volume 59. Pages 497–505. ISSN 0001-4575. https: //doi.org/10.1016/j.aap.2013.07.017.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Price clustering on cryptocurrency order books at a US-based exchange. (2024). Han, Seungoh.
    In: Journal of Behavioral and Experimental Finance.
    RePEc:eee:beexfi:v:41:y:2024:i:c:s221463502400008x.

    Full description at Econpapers || Download paper

  2. Dynamic portfolio optimization with inverse covariance clustering. (2023). Aste, Tomaso ; Wang, Yuanrong.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:117701.

    Full description at Econpapers || Download paper

  3. Intraday patterns of price clustering in Bitcoin. (2022). Tanizaki, Hisashi ; Ma, Donglian.
    In: Financial Innovation.
    RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-021-00307-4.

    Full description at Econpapers || Download paper

  4. Dynamic Portfolio Optimization with Inverse Covariance Clustering. (2022). Aste, Tomaso ; Wang, Yuanrong.
    In: Papers.
    RePEc:arx:papers:2112.15499.

    Full description at Econpapers || Download paper

  5. Modeling Price Clustering in High-Frequency Prices. (2021). Tomanov, Petra ; Hol, Vladim'Ir.
    In: Papers.
    RePEc:arx:papers:2102.12112.

    Full description at Econpapers || Download paper

  6. .

    Full description at Econpapers || Download paper

  7. Machine over Mind? Stock price clustering in the era of algorithmic trading. (2020). Kadapakkam, Palani-Rajan ; Das, Sougata .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818301347.

    Full description at Econpapers || Download paper

  8. Price clustering and economic freedom: The case of cross-listed securities. (2019). Blau, Benjamin M ; Baig, Ahmed S ; Whitby, Ryan J.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:50:y:2019:i:c:p:1-12.

    Full description at Econpapers || Download paper

  9. Price and trade size clustering: Evidence from the national stock exchange of India. (2018). Mishra, Ajay Kumar ; Tripathy, Trilochan.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:68:y:2018:i:c:p:63-72.

    Full description at Econpapers || Download paper

  10. The reactions to on-air stock reports: Prices, volume, and order submission behavior. (2017). Chiao, Chaoshin ; Lee, Cheng-Few ; Lin, Tung-Ying.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:44:y:2017:i:c:p:27-46.

    Full description at Econpapers || Download paper

  11. Price clustering in Bitcoin. (2017). Urquhart, Andrew.
    In: Economics Letters.
    RePEc:eee:ecolet:v:159:y:2017:i:c:p:145-148.

    Full description at Econpapers || Download paper

  12. The impact of numerical superstition on the final digit of stock price. (2017). Ke, Wen-Chyan ; Liu, Yo-Chia ; Lin, Hsiou-Wei W ; Chen, Hueiling .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:39:y:2017:i:c:p:145-157.

    Full description at Econpapers || Download paper

  13. Limited cognition and clustered asset prices: Evidence from betting markets. (2016). Yang, Fuyu ; Brown, Alasdair.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:29:y:2016:i:c:p:27-46.

    Full description at Econpapers || Download paper

  14. A dynamic panel analysis of HKEx shorting ban’s impact on the relationship between disagreement and future returns. (2016). Ikeda, Shin ; Zhang, Yan .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:17:y:2016:i:c:p:10-16.

    Full description at Econpapers || Download paper

  15. The Effect of Limit Order Book Information on Investors with Different Risk Attitudes. (2015). Wang, Ya-Hui ; Lai, Chien-Chih .
    In: The International Journal of Business and Finance Research.
    RePEc:ibf:ijbfre:v:9:y:2015:i:1:p:113-120.

    Full description at Econpapers || Download paper

  16. The prospect of a perfect ending: Loss aversion and the round-number bias. (2015). Fraser-MacKenzie, P ; Sung, M.
    In: Organizational Behavior and Human Decision Processes.
    RePEc:eee:jobhdp:v:131:y:2015:i:c:p:67-80.

    Full description at Econpapers || Download paper

  17. Tick size reduction and price clustering in a FX order book. (2014). Abergel, Frederic ; Lallouache, Mehdi.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:416:y:2014:i:c:p:488-498.

    Full description at Econpapers || Download paper

  18. Limited Cognition and Clustered Asset Prices: Evidence from Betting Markets. (2013). Yang, Fuyu ; Brown, Alasdair.
    In: University of East Anglia Applied and Financial Economics Working Paper Series.
    RePEc:uea:aepppr:2012_54.

    Full description at Econpapers || Download paper

  19. A substitution effect between price clustering and size clustering in credit default swaps. (2013). Verousis, Thanos ; ap Gwilym, Owain ; Meng, Lei.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:24:y:2013:i:c:p:139-152.

    Full description at Econpapers || Download paper

  20. Trade size clustering and the cost of trading at the London Stock Exchange. (2013). Verousis, Thanos ; ap Gwilym, Owain.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:27:y:2013:i:c:p:91-102.

    Full description at Econpapers || Download paper

  21. Has political instability contributed to price clustering on Fijis stock market?. (2013). Smyth, Russell ; Narayan, Paresh.
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:28:y:2013:i:c:p:125-130.

    Full description at Econpapers || Download paper

  22. Penny Wise, Dollar Foolish: Buy-Sell Imbalances On and Around Round Numbers. (2012). Bhattacharya, Utpal ; Holden, Craig W. ; Jacobsen, Stacey .
    In: Management Science.
    RePEc:inm:ormnsc:v:58:y:2012:i:2:p:413-431.

    Full description at Econpapers || Download paper

  23. Technical analyses and order submission behaviors: Evidence from an emerging market. (2012). Chiao, Chaoshin ; Wang, Zi-Mei ; Chang, Ya-Ting.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:24:y:2012:i:c:p:109-128.

    Full description at Econpapers || Download paper

  24. Clustering in crude oil prices and the target pricing zone hypothesis. (2012). Bharati, Rakesh ; Kaminski, Vincent ; Crain, Susan J..
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:4:p:1115-1123.

    Full description at Econpapers || Download paper

  25. Share price clustering in Mexico. (2011). Narayan, Seema ; D'Rosario, Michael ; Popp, Stephan .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:20:y:2011:i:2:p:113-119.

    Full description at Econpapers || Download paper

  26. Interest Rate Clustering in UK Financial Services Markets. (2006). Hudson, Robert ; Ashton, john.
    In: Working Paper series, University of East Anglia, Centre for Competition Policy (CCP).
    RePEc:uea:ueaccp:2006_14.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-07 16:20:22 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.