arXiv q-fin· Jiwon Jung, Kiseop Lee·· 5 hr agoAI Score47
Do Round Numbers Really Support Prices? An Analysis of Position Density and Depth-Conditional Hazard Rates in the Limit Order Book
Do Round Numbers Hold Prices? Occupation Densities and Depth-Conditioned Hazards in the Limit Order Book
AI summary
A paper published in the arXiv quantitative finance section investigates whether round numbers act as price barriers. Using limit order book data for five Nasdaq stocks in 2025, it employs a tick-grid framework to distinguish between two explanatory mechanisms: liquidity clustering and price barriers. The study finds that round numbers do attract more liquidity, but depth-adjusted dwell time is not longer, with price deviations for Intel and SoFi biased away from round numbers.
Source:arXiv q-fin · arxiv.org