Intraday patterns of price clustering in Bitcoin

Donglian Ma () and Hisashi Tanizaki
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Donglian Ma: Shenzhen University

Financial Innovation, 2022, vol. 8, issue 1, 1-25

Abstract: 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.

Keywords: BTC; Price clustering; Intraday pattern; Tick-by-tick (search for similar items in EconPapers)
JEL-codes: G14 G40 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-021-00307-4

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DOI: 10.1186/s40854-021-00307-4

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