Construct · 1 fields · 1 citations

price clustering: a standalone construct

One name. One construct. A landmark on the map.

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Market microstructure

the tendency of trade and quote prices to concentrate on round fractions or integers more often than chance predicts.

In market microstructure, price clustering refers to the tendency of trade and quote prices to concentrate on round fractions or integers more often than chance predicts. This meaning comes from Harris (1991) in Review of Financial Studies.[1]

Unit
Recovery means
Measured by

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Nearby constructs

chance4 fields · 6 citationsjingle · one word, four constructs market3 fields · 5 citationsjingle · one word, three constructs round3 fields · 5 citationsjingle · one word, three constructs

References

Harris, L. (1991). Stock Price Clustering and Discreteness. Review of Financial Studies, 4(3), 389-415. https://doi.org/10.1093/rfs/4.3.389

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