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Intraday price behavior of cryptocurrencies

Bill Hu, Thomas McInish, Jonathan Miller and Li Zeng

Finance Research Letters, 2019, vol. 28, issue C, 337-342

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.

Keywords: Cryptocurrency; Price clustering; Negotiation; Strategic trading (search for similar items in EconPapers)
JEL-codes: F31 G14 G15 (search for similar items in EconPapers)
Date: 2019
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Handle: RePEc:eee:finlet:v:28:y:2019:i:c:p:337-342