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Intraday patterns of price clustering in Bitcoin

Author

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  • Donglian Ma

    (Shenzhen University)

  • Hisashi Tanizaki

    (Osaka University)

Abstract

In this study, an investigation is conducted into the phenomenon of price clustering in Bitcoin (BTC) denominated in the Japanese yen (JPY). It answers two questions using tick-by-tick data. The first is whether price clustering exists in BTC/JPY transactions, and the other is how the scale of price clustering varies throughout a trading day. With the assistance of statistical measures, the last two digits of BTC price were discovered to cluster at the numbers that end with ’00’. In addition, the scales of BTC/JPY clustering at ’00’ tended to decline at the specific hour intervals. This study contributes to the emerging literature on price clustering and investor behavior.

Suggested Citation

  • Donglian Ma & Hisashi Tanizaki, 2022. "Intraday patterns of price clustering in Bitcoin," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-25, December.
    • Handle: RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-021-00307-4
    DOI: 10.1186/s40854-021-00307-4
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    3. Telli, Şahin & Zhao, Xufeng, 2023. "Clustering in Bitcoin balance," Finance Research Letters, Elsevier, vol. 55(PA).
    4. Arteaga Flórez, Andrea Lorena & De la Rosa Salazar, Diego Marcel, 2023. "Factores competitivos en el sector empresarial marroquinero. Caso: pymes marroquineras departamento de Nariño," Revista Tendencias, Universidad de Narino, vol. 24(2), pages 86-111, July.
    5. Wei Xu & Daning Hu & Karl Reiner Lang & J. Leon Zhao, 2022. "Blockchain and digital finance," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-4, December.
    6. Michael Frömmel & Eyup Kadioglu, 2023. "Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-23, December.
    7. Bibi, Samuele, 2023. "Money in the time of crypto," Research in International Business and Finance, Elsevier, vol. 65(C).
    8. Fatih Ecer & Tolga Murat & Hasan Dinçer & Serhat Yüksel, 2024. "A fuzzy BWM and MARCOS integrated framework with Heronian function for evaluating cryptocurrency exchanges: a case study of Türkiye," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-29, December.
    9. Peciulis Tomas & Vasiliauskaite Asta, 2024. "Effect of Monetary Policy Decisions and Announcements on the Price of Cryptocurrencies: An Elastic-Net With Arima Residuals Approach," Economics and Culture, Sciendo, vol. 21(1), pages 77-92.
    10. Samuel Tabot Enow, 2022. "Price Clustering in International Financial Markets during the COVID-19 Pandemic and Its Implications," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 10(2), pages 46-53.

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    More about this item

    Keywords

    BTC; Price clustering; Intraday pattern; Tick-by-tick;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G40 - Financial Economics - - Behavioral Finance - - - General

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