English, Article, Journal or magazine article edition: The Clustering of Bid/Ask Prices and the Spread in the Foreign Exchange Market Riccardo Curcio; Charles Goodhart

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Bookmark: http://trove.nla.gov.au/version/45028
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • The Clustering of Bid/​Ask Prices and the Spread in the Foreign Exchange Market
Author
  • Riccardo Curcio
  • Charles Goodhart
Physical Description
  • preprint
Notes
  • Following Lawrence Harris (1989b) study of price clustering in stock prices, we examine the smae phenomenon in the forex market. The pattern of clustering in the final digit of bid/​ask prices depends on the desired degree of price resolution. The selection of spreads also involves clustering, but this is driven by a different behavioural pattern, consistent with the pure attraction hypothesis. The combination of the two patterns can explain the differing frequencies of final digits in the bids as compared with the asks.
  • RePEc:fmg:fmgdps:dp110
Language
  • English
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