arXiv Paper Released on Empirical Study of Integer Tick Effects in Limit Order Books
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Jiwon Jung and Kiseop Lee published an empirical research paper in the arXiv Quantitative Finance section, which tests whether integer levels act as price barriers based on limit order book data of five Nasdaq stocks in 2025, using a tick-grid framework to distinguish between two explanatory mechanisms: liquidity clustering and price barriers. The study finds that integer levels do attract more liquidity, but the dwell time after depth adjustment is not longer, among which Intel and SoFi show price deviation directions biased away from integer levels.
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- arXiv q-finDo Round Numbers Really Support Prices? An Analysis of Position Density and Depth-Conditional Hazard Rates in the Limit Order Book
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.
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