{"title":"美国一家交易所加密货币订单簿上的价格聚类","authors":"SeungOh Han","doi":"10.1016/j.jbef.2024.100893","DOIUrl":null,"url":null,"abstract":"<div><p><span>We investigate the price clustering effect in cryptocurrency limit order books, where traders tend to place orders in round numbers. Analyzing 10-minute snapshots of five USD-denominated cryptocurrencies over 35 weeks (January–August 2020), we find that the frequency of specific cent components (e.g., 00, 50) increases significantly at higher </span>price levels. Subsample analyses reveal that this effect strengthens with larger previous cumulative dollar depth and larger price distance from the best price. Furthermore, near-best-price and far-from-best-price dollar quotes exhibit a weak negative and strong positive price impact, respectively, confirming the informativeness of the clustering effect. These findings remain robust when considering superstitious two digits, cluster undercutting, last digits, excluding stale quotes, and additional price levels.</p></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":null,"pages":null},"PeriodicalIF":4.3000,"publicationDate":"2024-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Price clustering on cryptocurrency order books at a US-based exchange\",\"authors\":\"SeungOh Han\",\"doi\":\"10.1016/j.jbef.2024.100893\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p><span>We investigate the price clustering effect in cryptocurrency limit order books, where traders tend to place orders in round numbers. Analyzing 10-minute snapshots of five USD-denominated cryptocurrencies over 35 weeks (January–August 2020), we find that the frequency of specific cent components (e.g., 00, 50) increases significantly at higher </span>price levels. Subsample analyses reveal that this effect strengthens with larger previous cumulative dollar depth and larger price distance from the best price. Furthermore, near-best-price and far-from-best-price dollar quotes exhibit a weak negative and strong positive price impact, respectively, confirming the informativeness of the clustering effect. These findings remain robust when considering superstitious two digits, cluster undercutting, last digits, excluding stale quotes, and additional price levels.</p></div>\",\"PeriodicalId\":47026,\"journal\":{\"name\":\"Journal of Behavioral and Experimental Finance\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":4.3000,\"publicationDate\":\"2024-02-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Behavioral and Experimental Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S221463502400008X\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Behavioral and Experimental Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S221463502400008X","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Price clustering on cryptocurrency order books at a US-based exchange
We investigate the price clustering effect in cryptocurrency limit order books, where traders tend to place orders in round numbers. Analyzing 10-minute snapshots of five USD-denominated cryptocurrencies over 35 weeks (January–August 2020), we find that the frequency of specific cent components (e.g., 00, 50) increases significantly at higher price levels. Subsample analyses reveal that this effect strengthens with larger previous cumulative dollar depth and larger price distance from the best price. Furthermore, near-best-price and far-from-best-price dollar quotes exhibit a weak negative and strong positive price impact, respectively, confirming the informativeness of the clustering effect. These findings remain robust when considering superstitious two digits, cluster undercutting, last digits, excluding stale quotes, and additional price levels.
期刊介绍：
Behavioral and Experimental Finance represent lenses and approaches through which we can view financial decision-making. The aim of the journal is to publish high quality research in all fields of finance, where such research is carried out with a behavioral perspective and / or is carried out via experimental methods. It is open to but not limited to papers which cover investigations of biases, the role of various neurological markers in financial decision making, national and organizational culture as it impacts financial decision making, sentiment and asset pricing, the design and implementation of experiments to investigate financial decision making and trading, methodological experiments, and natural experiments.
Journal of Behavioral and Experimental Finance welcomes full-length and short letter papers in the area of behavioral finance and experimental finance. The focus is on rapid dissemination of high-impact research in these areas.
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