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A substitution effect between price clustering and size clustering in credit default swaps. (2013). Verousis, Thanos ; ap Gwilym, Owain ; Meng, Lei.
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:24:y:2013:i:c:p:139-152.

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Cited: 8

Citations received by this document

Cites: 32

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Cocites: 26

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Coauthors: 0

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Citations received by this document

  1. Modeling Price Clustering in High-Frequency Prices. (2021). Hol, Vladim'Ir ; Tomanov, Petra.
    In: Papers.
    RePEc:arx:papers:2102.12112.

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  2. Lucky lots and unlucky investors. (2020). Ko, Stanley Iat-Meng ; Chen, Tao ; Lo, Chia Chun ; Karathanasopoulos, Andreas.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:54:y:2020:i:2:d:10.1007_s11156-019-00805-8.

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  3. Trade-size clustering and price efficiency. (2019). Chen, Tao.
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:49:y:2019:i:c:p:195-203.

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  4. A high-frequency analysis of price resolution and pricing barriers in equities on the adoption of a new currency. (2018). Pappas, Vasileios ; Dowling, Michael ; Cummins, Mark ; Alexakis, Christos.
    In: Applied Economics.
    RePEc:taf:applec:v:50:y:2018:i:36:p:3949-3965.

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  5. A High-Frequency Analysis of Price Resolution and Pricing Barriers in Equities on the Adoption of a New Currency. (2018). Alexakis, Christos ; Pappas, Vasileios ; Dowling, Michael ; Cummins, Mark.
    In: Post-Print.
    RePEc:hal:journl:hal-01994666.

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  6. Psychological price barriers in frontier equities. (2017). lucey, brian ; Dowling, Michael ; Cummins, Mark ; Berk, Ales S.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:49:y:2017:i:c:p:1-14.

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  7. Clustering of intraday order-sizes by uninformed versus informed traders. (2014). wu, fei ; Garvey, Ryan.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:41:y:2014:i:c:p:222-235.

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  8. What makes carbon traders cluster their orders?. (2014). Palao, Fernando ; Pardo, Angel.
    In: Energy Economics.
    RePEc:eee:eneeco:v:43:y:2014:i:c:p:158-165.

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References

References cited by this document

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  3. Intraday patterns of price clustering in Bitcoin. (2022). Tanizaki, Hisashi ; Ma, Donglian.
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  4. Dynamic Portfolio Optimization with Inverse Covariance Clustering. (2022). Wang, Yuanrong ; Aste, Tomaso.
    In: Papers.
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  5. Modeling Price Clustering in High-Frequency Prices. (2021). Hol, Vladim'Ir ; Tomanov, Petra.
    In: Papers.
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  6. Accounting Information Quality and the Clustering of Stock Prices. (2020). Blau, Benjamin ; Hao, Jie ; Baig, Ahmed.
    In: American Business Review.
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  7. Machine over Mind? Stock price clustering in the era of algorithmic trading. (2020). Das, Sougata ; Kadapakkam, Palani-Rajan.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818301347.

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  8. Price clustering and economic freedom: The case of cross-listed securities. (2019). Blau, Benjamin ; Whitby, Ryan J ; Baig, Ahmed S.
    In: Journal of Multinational Financial Management.
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  9. Price and trade size clustering: Evidence from the national stock exchange of India. (2018). Tripathy, Trilochan ; Mishra, Ajay Kumar.
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  10. The reactions to on-air stock reports: Prices, volume, and order submission behavior. (2017). Lee, Cheng Few ; Lin, Tung-Ying ; Chiao, Chaoshin.
    In: Pacific-Basin Finance Journal.
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  11. Price clustering in Bitcoin. (2017). Urquhart, Andrew.
    In: Economics Letters.
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  12. The impact of numerical superstition on the final digit of stock price. (2017). Liu, Yo-Chia ; Ke, Wen-Chyan ; Chen, Hueiling ; Lin, Hsiou-Wei W.
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  13. Limited cognition and clustered asset prices: Evidence from betting markets. (2016). Yang, Fuyu ; Brown, Alasdair.
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  14. A dynamic panel analysis of HKEx shorting ban’s impact on the relationship between disagreement and future returns. (2016). Ikeda, Shin ; Zhang, Yan.
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  18. Limited Cognition and Clustered Asset Prices: Evidence from Betting Markets. (2013). Yang, Fuyu ; Brown, Alasdair.
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  19. A substitution effect between price clustering and size clustering in credit default swaps. (2013). Verousis, Thanos ; ap Gwilym, Owain ; Meng, Lei.
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  20. Trade size clustering and the cost of trading at the London Stock Exchange. (2013). Verousis, Thanos ; ap Gwilym, Owain.
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  21. Has political instability contributed to price clustering on Fijis stock market?. (2013). Smyth, Russell ; Narayan, Paresh.
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