Intraday price behavior of cryptocurrencies

【Author】 Hu, Bill; McInish, Thomas; Miller, Jonathan; Zeng, Li

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We are the first to investigate intraday price behavior of cryptocurrencies. Trade prices cluster on round numbers throughout the day. The clustering increases with price level and pricing uncertainty. There is also strategic pricing at just below or above round numbers. At the transaction level, we find that prices are mainly formed due to negotiations and strategic trading, instead of based on psychologically appealing numbers in the order of 0, 5, and others.

【Keywords】Cryptocurrency; Price clustering; Negotiation; Strategic trading

【发表时间】2019 MAR

【收录时间】2022-01-02

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