IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!)

Citations for "Stock Price Clustering and Discreteness"

by Harris, Lawrence

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. David Goldreich, 2004. "Behavioral Biases of Dealers in U.S. Treasury Auctions," Working Papers 2004.143, Fondazione Eni Enrico Mattei.
  2. Hagströmer, Björn & Nilsson, Birger & Hansson, Björn, 2011. "The components of the illiquidity premium: An empirical analysis of U.S. stocks 1927-2010," Working Papers 2011:24, Lund University, Department of Economics.
  3. Visaltanachoti, Nuttawat & Charoenwong, Charlie & Ding, David K., 2008. "Liquidity distribution in the limit order book on the stock exchange of Thailand," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 291-311.
  4. Charles Kahn & George Pennacchi & Ben Sopranzetti, 1999. "Bank Deposit Rate Clustering: Theory and Empirical Evidence," Journal of Finance, American Finance Association, vol. 54(6), pages 2185-2214, December.
  5. Ke, Mei-Chu & Jiang, Ching-Hai & Huang, Yen-Sheng, 2004. "The impact of tick size on intraday stock price behavior: evidence from the Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 12(1), pages 19-39, January.
  6. Holden, Craig W., 2009. "New low-frequency spread measures," Journal of Financial Markets, Elsevier, vol. 12(4), pages 778-813, November.
  7. Palao, Fernando & Pardo, Ángel, 2014. "What makes carbon traders cluster their orders?," Energy Economics, Elsevier, vol. 43(C), pages 158-165.
  8. Alexander K. Koch & Zdravetz Lazarov, 2005. "Clustering of Trading Activity in the DAX Index Options Market," Royal Holloway, University of London: Discussion Papers in Economics 05/02, Department of Economics, Royal Holloway University of London, revised Mar 2005.
  9. Bruno Biais & Christophe Bisière & Chester Spatt, 2010. "Imperfect Competition in Financial Markets: An Empirical Study of Island and Nasdaq," Management Science, INFORMS, vol. 56(12), pages 2237-2250, December.
  10. Chen, Hsuan-Chi & Fauver, Larry & Yang, Pei-Ching, 2009. "What do investment banks charge to underwrite American Depositary Receipts?," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 609-618, April.
  11. Hao-Chen Liu, 2011. "Timing of price clustering and trader behavior in the foreign exchange market: evidence from Taiwan," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 35(2), pages 198-210, April.
  12. Ohta, Wataru, 2006. "An analysis of intraday patterns in price clustering on the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 1023-1039, March.
  13. Asmus Olsen, 2013. "The politics of digits: evidence of odd taxation," Public Choice, Springer, vol. 154(1), pages 59-73, January.
  14. Kirsten Rüchardt & Bodo Vogt, 2009. "Comparison of the Stock Price Clustering of stocks which are traded in the US and Germany—Is XETRA more efficient than the NYSE?," FEMM Working Papers 09016, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
  15. Keloharju, Matti & Hukkanen, Petri, 2014. "Initial Offer Precision and M&A Outcomes," Working Paper Series 1038, Research Institute of Industrial Economics.
  16. Joe Chen, 2005. "The Market Structure of Nasdaq Dealer Markets and Quoting Conventions," CARF F-Series CARF-F-040, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  17. Brown, Philip & Mitchell, Jason, 2008. "Culture and stock price clustering: Evidence from The Peoples' Republic of China," Pacific-Basin Finance Journal, Elsevier, vol. 16(1-2), pages 95-120, January.
  18. Tse, Yiuman & Devos, Erik, 2004. "Trading costs, investor recognition and market response: An analysis of firms that move from the Amex (Nasdaq) to Nasdaq (Amex)," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 63-83, January.
  19. Griffiths, Mark D. & Smith, Brian F. & Turnbull, D. Alasdair S. & White, Robert W., 1998. "The Role of Tick Size in Upstairs Trading and Downstairs Trading," Journal of Financial Intermediation, Elsevier, vol. 7(4), pages 393-417, October.
  20. Fernando Palao & Ángel Pardo Tornero, 2012. "When size matters: Clustering in the European Carbon Market," Working Papers. Serie EC 2012-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  21. Ozsoylev, Han N. & Takayama, Shino, 2010. "Price, trade size, and information revelation in multi-period securities markets," Journal of Financial Markets, Elsevier, vol. 13(1), pages 49-76, February.
  22. Kalaichelvan, Mohandass & Lim Kai Jie, Shawn, 2012. "A Critical Evaluation of the Significance of Round Numbers in European Equity Markets in Light of the Predictions from Benford’s Law," MPRA Paper 40960, University Library of Munich, Germany.
  23. Bollerslev, Tim & Law, Tzuo Hann & Tauchen, George, 2008. "Risk, jumps, and diversification," Journal of Econometrics, Elsevier, vol. 144(1), pages 234-256, May.
  24. Porter, David C. & Weaver, Daniel G., 1998. "Post-trade transparency on Nasdaq's national market system," Journal of Financial Economics, Elsevier, vol. 50(2), pages 231-252, November.
  25. Mazza, Paolo, 2015. "Price dynamics and market liquidity: An intraday event study on Euronext," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 139-153.
  26. Ahn, Hee-Joon & Cai, Jun & Cheung, Yan Leung, 2005. "Price clustering on the limit-order book: Evidence from the Stock Exchange of Hong Kong," Journal of Financial Markets, Elsevier, vol. 8(4), pages 421-451, November.
  27. Biais, Bruno & Bisière, Christophe & Spatt, Chester, 2003. "Imperfect Competition in Financial Markets: ISLAND versus NASDAQ," IDEI Working Papers 220, Institut d'Économie Industrielle (IDEI), Toulouse, revised Dec 2006.
  28. Narayan, Paresh Kumar & Smyth, Russell, 2013. "Has political instability contributed to price clustering on Fiji's stock market?," Journal of Asian Economics, Elsevier, vol. 28(C), pages 125-130.
  29. Guo, Fang & Zhou, Kaiguo & Cai, Jinghan, 2008. "Stock splits, liquidity, and information asymmetry--An empirical study on Tokyo Stock Exchange," Journal of the Japanese and International Economies, Elsevier, vol. 22(3), pages 417-438, September.
  30. Bharati, Rakesh & Crain, Susan J. & Kaminski, Vincent, 2012. "Clustering in crude oil prices and the target pricing zone hypothesis," Energy Economics, Elsevier, vol. 34(4), pages 1115-1123.
  31. Alexander, Gordon J. & Peterson, Mark A., 2007. "An analysis of trade-size clustering and its relation to stealth trading," Journal of Financial Economics, Elsevier, vol. 84(2), pages 435-471, May.
  32. Mancino, M.E. & Sanfelici, S., 2008. "Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2966-2989, February.
  33. He, Yan & Wu, Chunchi, 2006. "Is stock price rounded for economic reasons in the Chinese markets?," Global Finance Journal, Elsevier, vol. 17(1), pages 119-135, September.
  34. He, Yan & Wu, Chunchi, 2004. "Price rounding and bid-ask spreads before and after the decimalization," International Review of Economics & Finance, Elsevier, vol. 13(1), pages 19-41.
  35. Niemeyer, Jonas & Sandås, Patrik, 1995. "An Empirical Analysis of the Trading Structure at the Stockholm Stock Exchange," SSE/EFI Working Paper Series in Economics and Finance 44, Stockholm School of Economics.
  36. Madhavan, Ananth & Sofianos, George, 1998. "An empirical analysis of NYSE specialist trading," Journal of Financial Economics, Elsevier, vol. 48(2), pages 189-210, May.
  37. Eid, Nourhan & Maltby, Josephine & Talavera, Oleksandr, 2016. "Income Rounding and Loan Performance in the Peer-to-Peer Market," MPRA Paper 72852, University Library of Munich, Germany.
  38. Peter Wakker & Veronika Köbberling & Christiane Schwieren, 2007. "Prospect-theory’s Diminishing Sensitivity Versus Economics’ Intrinsic Utility of Money: How the Introduction of the Euro can be Used to Disentangle the Two Empirically," Theory and Decision, Springer, vol. 63(3), pages 205231-2052, November.
  39. Aitken, Michael & Brown, Philip & Buckland, Christine & Izan, H. Y. & Walter, Terry, 1996. "Price clustering on the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 4(2-3), pages 297-314, July.
  40. Richard G. Anderson & Jane M. Binner & Björn Hagströmer & Birger Nilsson, 2013. "Does commonality in illiquidity matter to investors?," Working Papers 2013-020, Federal Reserve Bank of St. Louis.
  41. Engelberg, Joseph & Williams, Jared, 2009. "eBay's proxy bidding: A license to shill," Journal of Economic Behavior & Organization, Elsevier, vol. 72(1), pages 509-526, October.
  42. Alain Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Mico Loretan, 2008. "Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets," BIS Working Papers 249, Bank for International Settlements.
  43. Bollerslev, Tim & Domowitz, Ian & Wang, Jianxin, 1997. "Order flow and the bid-ask spread: An empirical probability model of screen-based trading," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1471-1491, June.
  44. Carol L. Osler, 2001. "Currency orders and exchange-rate dynamics: explaining the success of technical analysis," Staff Reports 125, Federal Reserve Bank of New York.
  45. Rotfuß, Waldemar, 2009. "Intraday price formation and volatility in the European Union emissions trading scheme: an introductory analysis," ZEW Discussion Papers 09-018, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  46. Jeon, Jin Q. & Lee, Cheolwoo, 2015. "A new measure for heated negotiation in the IPO syndicate," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 278-304.
  47. Jörg Rieger & Kirsten Rüchardt & Bodo Vogt, 2011. "Comparing High Frequency Data of Stocks that are Traded Simultaneously in the US and Germany: Simulated Versus Empirical Data," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 1(2), pages 126-142, December.
  48. Bourghelle, David & Declerck, Fany, 2004. "Why markets should not necessarily reduce the tick size," Journal of Banking & Finance, Elsevier, vol. 28(2), pages 373-398, February.
  49. Coppejans, Mark & Domowitz, Ian, 1999. "Pricing behavior in an off-hours computerized market," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 583-607, December.
  50. Bessembinder, Hendrik, 1997. "The degree of price resolution and equity trading costs," Journal of Financial Economics, Elsevier, vol. 45(1), pages 9-34, July.
  51. Kandel, Shmuel & Sarig, Oded & Wohl, Avi, 2001. "Do investors prefer round stock prices? Evidence from Israeli IPO auctions," Journal of Banking & Finance, Elsevier, vol. 25(8), pages 1543-1551, August.
  52. Cooney, John Jr. & Van Ness, Bonnie & Van Ness, Robert, 2003. "Do investors prefer even-eighth prices? Evidence from NYSE limit orders," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 719-748, April.
  53. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2011. "An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(4), pages 669-707, 06.
  54. Sonnemans, Joep, 2006. "Price clustering and natural resistance points in the Dutch stock market: A natural experiment," European Economic Review, Elsevier, vol. 50(8), pages 1937-1950, November.
  55. Fischer, Andreas M, 2004. "Price Clustering in the FX Market: A Disaggregate Analysis Using Central Bank Intervention," CEPR Discussion Papers 4529, C.E.P.R. Discussion Papers.
  56. 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.
  57. ap Gwilym, Owain & Verousis, Thanos, 2010. "Price clustering and underpricing in the IPO aftermarket," International Review of Financial Analysis, Elsevier, vol. 19(2), pages 89-97, March.
  58. Bacidore, Jeffrey M., 2001. "Decimalization, adverse selection, and market maker rents," Journal of Banking & Finance, Elsevier, vol. 25(5), pages 829-855, May.
  59. Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel, 2013. "Economic valuation of liquidity timing," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5073-5087.
  60. Michael McAleer & Marcelo Medeiros, 2008. "Realized Volatility: A Review," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 1045-1045.
  61. Geoffrey Booth, G. & Kallunki, Juha-Pekka & Lin, Ji-Chai & Martikainen, Teppo, 2000. "Internalization and stock price clustering: Finnish evidence," Journal of International Money and Finance, Elsevier, vol. 19(5), pages 737-751, October.
  62. Narayan, Paresh Kumar & Narayan, Seema & Popp, Stephan, 2011. "Investigating price clustering in the oil futures market," Applied Energy, Elsevier, vol. 88(1), pages 397-402, January.
  63. Chung, Kee H. & Charoenwong, Charlie & Ding, David K., 2004. "Penny pricing and the components of spread and depth changes," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2981-3007, December.
  64. Alexander, Gordon J. & Peterson, Mark A., 2002. "Implications of a Reduction in Tick Size on Short-Sell Order Execution," Journal of Financial Intermediation, Elsevier, vol. 11(1), pages 37-60, January.
  65. Owain ap Gwilym & Evamena Alibo, 2003. "Decreased price clustering in FTSE100 futures contracts following a transfer from floor to electronic trading," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(7), pages 647-659, 07.
  66. Silvio John Camilleri, 2005. "Can a Stock Index be Less Efficient than Underlying Shares? An Analysis Using Malta Stock Exchange Data," Finance 0507006, EconWPA.
  67. 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.
  68. Koopman, S.J.M. & Lai, H.N., 1998. "Modelling bid-ask spreads in competitive dealership markets," Discussion Paper 1998-032, Tilburg University, Center for Economic Research.
  69. Blau, Benjamin M. & Griffith, Todd G., 2016. "Price clustering and the stability of stock prices," Journal of Business Research, Elsevier, vol. 69(10), pages 3933-3942.
  70. Zdravetz Lazarov, 2004. "Distribution of Trading Activity across Strike Prices in the DAX Index Options Market," Bonn Econ Discussion Papers bgse7_2004, University of Bonn, Germany.
  71. Mitchell, Jason & Izan, H.Y., 2006. "Clustering and psychological barriers in exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(4), pages 318-344, October.
  72. Hagströmer, Björn & Hansson, Björn & Nilsson, Birger, 2013. "The components of the illiquidity premium: An empirical analysis of US stocks 1927–2010," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4476-4487.
  73. Joel Hasbrouck, 1998. "Security Bid/Ask Dynamics with Discreteness and Clustering: Simple Strategies for Modeling and Estimation," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-042, New York University, Leonard N. Stern School of Business-.
  74. Pantisa Pavabutr & Sukanya Prangwattananon, 2009. "Tick size change on the Stock Exchange of Thailand," Review of Quantitative Finance and Accounting, Springer, vol. 32(4), pages 351-371, May.
  75. Bollen, Nicolas P.B. & Christie, William G., 2009. "Market microstructure of the Pink Sheets," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1326-1339, July.
  76. Brown, Gregory W. & Hartzell, Jay C., 2001. "Market reaction to public information: The atypical case of the Boston Celtics," Journal of Financial Economics, Elsevier, vol. 60(2-3), pages 333-370, May.
  77. Brown, Alasdair & Yang, Fuyu, 2016. "Limited cognition and clustered asset prices: Evidence from betting markets," Journal of Financial Markets, Elsevier, vol. 29(C), pages 27-46.
  78. Schmöller, Arno, 2010. "Bidding Behavior, Seller Strategies, and the Utilization of Information in Auctions for Complex Goods," Munich Dissertations in Economics 11175, University of Munich, Department of Economics.
  79. Lau, Sie Ting & McInish, Thomas H., 1995. "Reducing tick size on the Stock Exchange of Singapore," Pacific-Basin Finance Journal, Elsevier, vol. 3(4), pages 485-496, December.
  80. Gleason, Kimberly C. & Lee, Chun I. & Mathur, Ike, 2000. "An explanation for the compass rose pattern," Economics Letters, Elsevier, vol. 68(2), pages 127-133, August.
  81. ap Gwilym, Owain & Clare, Andrew & Thomas, Stephen, 1998. "Price clustering and bid-ask spreads in international bond futures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 377-391, December.
  82. McGroarty, Frank & ap Gwilym, Owain & Thomas, Stephen, 2006. "Microstructure effects, bid-ask spreads and volatility in the spot foreign exchange market pre and post-EMU," Global Finance Journal, Elsevier, vol. 17(1), pages 23-49, September.
  83. Englmaier, Florian & Schmöller, Arno, 2010. "Determinants and Effects of Reserve Prices in Hattrick Auctions," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 326, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
  84. W. Yang, 1999. "The Demand for and Supply of Shares. An Empirical Study of the Limit Order Book on the ASX," Economics Discussion / Working Papers 99-03, The University of Western Australia, Department of Economics.
  85. Bruno Biais & Christophe Bisiere & Chester Spatt, 2002. "Imperfect Competition in Financial Markets: ISLAND vs. NASDAQ," GSIA Working Papers 2003-E41, Carnegie Mellon University, Tepper School of Business.
  86. Grossman, Sanford J, et al, 1997. "Clustering and Competition in Asset Markets," Journal of Law and Economics, University of Chicago Press, vol. 40(1), pages 23-60, April.
  87. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2000. "Commonality in liquidity," Journal of Financial Economics, Elsevier, vol. 56(1), pages 3-28, April.
  88. Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
  89. Schwert, G. William, 1997. "Symposium on market microstructure: Focus on Nasdaq," Journal of Financial Economics, Elsevier, vol. 45(1), pages 3-8, July.
  90. Fraser-Mackenzie, P. & Sung, M. & Johnson, J.E.V., 2015. "The prospect of a perfect ending: Loss aversion and the round-number bias," Organizational Behavior and Human Decision Processes, Elsevier, vol. 131(C), pages 67-80.
  91. Joe Chen, 2005. "The Market Structure of Nasdaq Dealer Markets and Quoting Conventions," CIRJE F-Series CIRJE-F-357, CIRJE, Faculty of Economics, University of Tokyo.
  92. Sopranzetti, Ben J. & Datar, Vinay, 2002. "Price clustering in foreign exchange spot markets," Journal of Financial Markets, Elsevier, vol. 5(4), pages 411-417, October.
  93. Ascioglu, Asli & Comerton-Forde, Carole & McInish, Thomas H., 2010. "An examination of minimum tick sizes on the Tokyo Stock Exchange," Japan and the World Economy, Elsevier, vol. 22(1), pages 40-48, January.
  94. Bongjin Kim & Mark M. Suazo & John E. Prescott, . "Exploring the Cognitive Nature of Boards of Directors and Its Implication for Board Effectiveness," Working Papers 0032, College of Business, University of Texas at San Antonio.
  95. Aitken, Michael & Comerton-Forde, Carole, 2003. "How should liquidity be measured?," Pacific-Basin Finance Journal, Elsevier, vol. 11(1), pages 45-59, January.
  96. Xiaoyan Ni, Sophie & Pearson, Neil D. & Poteshman, Allen M., 2005. "Stock price clustering on option expiration dates," Journal of Financial Economics, Elsevier, vol. 78(1), pages 49-87, October.
  97. Sofianos, George & Werner, Ingrid M., 2000. "The trades of NYSE floor brokers," Journal of Financial Markets, Elsevier, vol. 3(2), pages 139-176, May.
  98. Kandel, Eugene & Marx, Leslie M., 1997. "Nasdaq market structure and spread patterns," Journal of Financial Economics, Elsevier, vol. 45(1), pages 61-89, July.
  99. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2004. "Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications," IDEI Working Papers 253, Institut d'Économie Industrielle (IDEI), Toulouse.
  100. Carol L. Osler, 2003. "Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis," Journal of Finance, American Finance Association, vol. 58(5), pages 1791-1820, October.
  101. Verousis, Thanos & ap Gwilym, Owain, 2013. "Trade size clustering and the cost of trading at the London Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 91-102.
  102. Bondarenko, Oleg & Sung, Jaeyoung, 2003. "Specialist participation and limit orders," Journal of Financial Markets, Elsevier, vol. 6(4), pages 539-571, August.
  103. Narayan, Paresh Kumar & Narayan, Seema & Popp, Stephan & D'Rosario, Michael, 2011. "Share price clustering in Mexico," International Review of Financial Analysis, Elsevier, vol. 20(2), pages 113-119, April.
  104. Thomas Johann & Erik Theissen, 2013. "Liquidity measures," Chapters, in: Handbook of Research Methods and Applications in Empirical Finance, chapter 10, pages 238-255 Edward Elgar Publishing.
  105. Brown, Philip & Chua, Angeline & Mitchell, Jason, 2002. "The influence of cultural factors on price clustering: Evidence from Asia-Pacific stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 10(3), pages 307-332, June.
  106. Meng, Lei & Verousis, Thanos & ap Gwilym, Owain, 2013. "A substitution effect between price clustering and size clustering in credit default swaps," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 139-152.
  107. Münnix, Michael C. & Schäfer, Rudi & Guhr, Thomas, 2010. "Impact of the tick-size on financial returns and correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4828-4843.
  108. Godek, Paul E., 1996. "Why Nasdaq market makers avoid odd-eighth quotes," Journal of Financial Economics, Elsevier, vol. 41(3), pages 465-474, July.
  109. Palao, Fernando & Pardo, Angel, 2012. "Assessing price clustering in European Carbon Markets," Applied Energy, Elsevier, vol. 92(C), pages 51-56.
  110. Garvey, Ryan & Wu, Fei, 2014. "Clustering of intraday order-sizes by uninformed versus informed traders," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 222-235.
  111. Goyenko, Ruslan Y. & Holden, Craig W. & Trzcinka, Charles A., 2009. "Do liquidity measures measure liquidity?," Journal of Financial Economics, Elsevier, vol. 92(2), pages 153-181, May.
  112. Hasbrouck, Joel, 1999. "Security bid/ask dynamics with discreteness and clustering: Simple strategies for modeling and estimation1," Journal of Financial Markets, Elsevier, vol. 2(1), pages 1-28, February.
  113. Joep Sonnemans, 2003. "Price Clustering and Natural Resistance Points in the Dutch Stock Market," Tinbergen Institute Discussion Papers 03-043/1, Tinbergen Institute.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.