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Publication type: Article
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| Title: |
Price Clustering Asymmetries in Limit Order Flows
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| Author(s): |
Box,Travis
(Author)
Griffith,Todd
(Author)
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| Source Journal Info. |
Title:Financial management
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Issue Number:2016/WINTER V.45 N.4
Call No.:658.1505 FMA
Location: References & Periodical Hall - 2nd floor
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| Physical Description: |
p 1041-1066
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| Subject Area: |
Management
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| Subject Terms: |
Management
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| Accession Number |
157708
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Abstract
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We explore the relation between limit order price clustering and price efficiency. We find that executed sell limit orders cluster more frequently on round increments than buy limit orders and that this asymmetry in clustering is consistent with the well-documented asymmetry in price response to marketable orders. In addition, we find that the degree of clustering is positively related to volatility and that asymmetry in clustering depends on whether stock prices are rising or falling—sell limit orders cluster more frequently as prices are rising, although buy limit orders cluster more as prices are declining. Our results indicate that predictable patterns in limit order pricing contribute to short-run deviations from price efficiency. ...
Abstract URL:http://onlinelibrary.wiley.com/doi/10.1111/fima.12136/full
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