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Price Clustering Asymmetries in Limit Order Flows

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  • Travis Box
  • Todd Griffith

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  • Travis Box & Todd Griffith, 2016. "Price Clustering Asymmetries in Limit Order Flows," Financial Management, Financial Management Association International, vol. 45(4), pages 1041-1066, December.
    • Handle: RePEc:bla:finmgt:v:45:y:2016:i:4:p:1041-1066
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    File URL: http://hdl.handle.net/10.1111/fima.2016.45.issue-4
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    Cited by:

    1. Mishra, Ajay Kumar & Tripathy, Trilochan, 2018. "Price and trade size clustering: Evidence from the national stock exchange of India," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 63-72.
    2. Vladim'ir Hol'y & Petra Tomanov'a, 2021. "Modeling Price Clustering in High-Frequency Prices," Papers 2102.12112, arXiv.org, revised Mar 2021.

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