Price clustering in foreign exchange spot markets

Sopranzetti, Ben J.; Datar, Vinay

doi:10.1016/s1386-4181(01)00032-5

Cited by 88 publications

(49 citation statements)

References 7 publications

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“…Ball et al (1985) document clustering of prices in the gold market. Sopranzetti and Datar (2002) find price clustering in the foreign exchange spot market. Colwell, Rushing, and Young (1994) and Palmon, Smith, and Sopranzetti (1998) find clustering on even pricing in real estate markets.…”

Section: Clustering Literaturementioning

confidence: 90%

Clustering in the futures market: Evidence from S&P 500 futures contracts

Schwartz

Ness

2004

Journal of Futures Markets

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We document trade price clustering in the futures markets. We find clustering at prices of x.00 and x.50 for S&P 500 futures contracts. While trade price clustering is evident throughout time to maturity of these contracts, there is a dramatic change when the S&P 500 futures contract is designated a front-month contract (decrease in clustering) and a back-month contract (increase in clustering). We find that trade price clustering is a positive function of volatility and a negative function of volume or open interest. In addition, we find a high degree of clustering in the daily opening and closing prices, but a lower degree of clustering in the settlement prices.

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Section: Clustering Literaturementioning

confidence: 90%

Clustering in the futures market: Evidence from S&P 500 futures contracts

Schwartz

Ness

2004

Journal of Futures Markets

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“…This situation has now eased. Besides Goodhart et al (2002), Sopranzetti and Datar (2002) produced a price clustering study of the FX market, using data from the Federal Reserve Bank of New York.…”

Section: The Importance Of Price Discreteness and Price Clusteringmentioning

confidence: 99%

Microstructure effects, bid–ask spreads and volatility in the spot foreign exchange market pre and post-EMU

McGroarty

Gwilym

Thomas

2006

Global Finance Journal

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“…This clustering is found in stock prices, currency prices (Sopranzetti and Datar, 2002), bond prices (Gwilym, Clare, and Thomas, 1998a), and option prices (Gwilym, Clare, and Thomas, 1998b). Furthermore, clustering appears to be resistant to changes in market design.…”

Section: Resultsmentioning

confidence: 88%

Limited cognition and clustered asset prices: Evidence from betting markets

Brown

Yang

2016

Journal of Financial Markets

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Asset prices tend to cluster at round numbers. We examine betting exchange data on U.K. horse races to establish whether limited cognition is partially responsible for this clustering. The key tool in this study is the stark increase in cognitive load faced by traders during races compared to prior to races. Using an approach that is part regression discontinuity and part difference-in-differences, we find that traders exhibit a substantially higher propensity to quote round numbers, rather than the nearest non-round numbers, during races. This result is robust to a series of placebo tests.JEL classification: G02, G12, G14

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Price clustering in foreign exchange spot markets

Cited by 88 publications

References 7 publications

Clustering in the futures market: Evidence from S&P 500 futures contracts

Clustering in the futures market: Evidence from S&P 500 futures contracts

Microstructure effects, bid–ask spreads and volatility in the spot foreign exchange market pre and post-EMU

Limited cognition and clustered asset prices: Evidence from betting markets

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