Price Clustering Asymmetries in Limit Order Flows
研究了限价订单价格聚类与价格效率的关系，发现卖出限价订单比买入限价订单更频繁地聚类在整数价位，且这种不对称性与价格对市价订单的反应不对称性一致；聚类程度与波动率正相关，且聚类不对称性随股价涨跌而变化。
We explore the relation between limit order price clustering and price efficiency. We find that executed sell limit orders cluster more frequently on round increments than buy limit orders and that this asymmetry in clustering is consistent with the well‐documented asymmetry in price response to marketable orders. In addition, we find that the degree of clustering is positively related to volatility and that asymmetry in clustering depends on whether stock prices are rising or falling—sell limit orders cluster more frequently as prices are rising, although buy limit orders cluster more as prices are declining. Our results indicate that predictable patterns in limit order pricing contribute to short‐run deviations from price efficiency.