The University of Southampton
×
Filter your search:
University of Southampton Institutional Repository

Price clustering in Bitcoin

Price clustering in Bitcoin
Price clustering in Bitcoin
Investor and media attention in Bitcoin has increased substantially in recently years, reflected by the incredible surge in news articles and considerable rise in the price of Bitcoin. Given the increased attention, there little is known about the behaviour of Bitcoin prices and therefore we add to the literature by studying price clustering. We find significant evidence of clustering at round numbers, with over 10% of prices ending with 00 decimals compared to other variations but there is no significant pattern of returns after the round number. We also support the negotiation hypothesis of Harris (1991) by showing that price and volume have a significant positive relationship with price clustering at whole numbers.
0165-1765
145-148
Urquhart, Andrew
ee369df1-95b5-4cdf-bc24-f1be77357c03
Urquhart, Andrew
ee369df1-95b5-4cdf-bc24-f1be77357c03

Urquhart, Andrew (2017) Price clustering in Bitcoin. Economics Letters, 159, 145-148. (doi:10.1016/j.econlet.2017.07.035).

Record type: Article

Abstract

Investor and media attention in Bitcoin has increased substantially in recently years, reflected by the incredible surge in news articles and considerable rise in the price of Bitcoin. Given the increased attention, there little is known about the behaviour of Bitcoin prices and therefore we add to the literature by studying price clustering. We find significant evidence of clustering at round numbers, with over 10% of prices ending with 00 decimals compared to other variations but there is no significant pattern of returns after the round number. We also support the negotiation hypothesis of Harris (1991) by showing that price and volume have a significant positive relationship with price clustering at whole numbers.

Text
Clustering of Bitcoin v2 - Accepted Manuscript
Available under License Creative Commons Attribution Non-commercial No Derivatives.
Download (174kB)

More information

Accepted/In Press date: 30 July 2017
e-pub ahead of print date: 3 August 2017
Published date: October 2017

Identifiers

Local EPrints ID: 412873
URI: http://eprints.soton.ac.uk/id/eprint/412873
DOI: doi:10.1016/j.econlet.2017.07.035
ISSN: 0165-1765
PURE UUID: c350c3f5-a97d-46c8-b8da-516644550127
ORCID for Andrew Urquhart: ORCID iD orcid.org/0000-0001-8834-4243

Catalogue record

Date deposited: 07 Aug 2017 13:07
Last modified: 16 Mar 2024 05:36

Export record

Altmetrics

Contributors

Author: Andrew Urquhart ORCID iD

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Library staff additional information
Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×