Intraday price behavior of cryptocurrencies
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.
Publication Title
Finance Research Letters
Recommended Citation
Hu, B., McInish, T., Miller, J., & Zeng, L. (2019). Intraday price behavior of cryptocurrencies. Finance Research Letters, 28, 337-342. https://doi.org/10.1016/j.frl.2018.06.002
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