Modeling price clustering in high-frequency prices
Author:
Affiliation:
1. Prague University of Economics and Business, Winston Churchill Square 4, 130 67 Prague 3, Czech Republic
Funder
Czech Science Foundation
Prague University of Economics and Business
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2022.2050285
Reference79 articles.
1. Price clustering on the limit-order book: Evidence from the Stock Exchange of Hong Kong
2. Price clustering on the Australian Stock Exchange
3. An analysis of trade-size clustering and its relation to stealth trading☆
4. Extreme price clustering in the London equity index futures and options markets
5. Price Clustering in Individual Equity Options: Moneyness, Maturity, and Price Level
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