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Limit order clustering and price barriers on financial markets : evidence from Euronext

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  • David Bourghelle

    (UMR CNRS 8179 - Université de Lille, Sciences et Technologies - CNRS - Centre National de la Recherche Scientifique)

  • A. Cellier

Abstract

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Suggested Citation

  • David Bourghelle & A. Cellier, 2009. "Limit order clustering and price barriers on financial markets : evidence from Euronext," Post-Print hal-00404555, HAL.
    • Handle: RePEc:hal:journl:hal-00404555
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    Cited by:

    1. Lallouache, Mehdi & Abergel, Frédéric, 2014. "Tick size reduction and price clustering in a FX order book," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 488-498.
    2. Utpal Bhattacharya & Craig W. Holden & Stacey Jacobsen, 2012. "Penny Wise, Dollar Foolish: Buy-Sell Imbalances On and Around Round Numbers," Management Science, INFORMS, vol. 58(2), pages 413-431, February.
    3. Mehdi Lallouache & Fr'ed'eric Abergel, 2013. "Tick Size Reduction and Price Clustering in a FX Order Book," Papers 1307.5440, arXiv.org, revised Sep 2014.
    4. Ken Chung & Anthony Bellotti, 2021. "Evidence and Behaviour of Support and Resistance Levels in Financial Time Series," Papers 2101.07410, arXiv.org.
    5. Mehdi Lallouache & Frédéric Abergel, 2014. "Tick size reduction and price clustering in a FX order book," Post-Print hal-01006414, HAL.

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