خوشه بندی قیمت در بازارهای لحظه ای ارز

This paper documents the existence of price clustering in the foreign exchange spot market for the German mark, the Japanese yen, the United Kingdom pound, the French franc, the Italian lira, and the Swedish krona. The U.S. dollar exchange rate indicative quotes for these currencies tend to exhibit clustering around right-most digits that end in either a “zero” or a “five.” The tendency for exchange rates to cluster has increased with increases in trading volume and volatility. Moreover, the tendency for exchange rates to cluster differs across currencies.

This paper has documented the existence of price clustering in the foreign exchange spot markets for the German mark, the United Kingdom pound, the Japanese yen, the French franc, the Italian lira, and the Swedish krona. The dollar exchange rate quotes for each of these currencies tend to have right-most digits that end in either a “zero” or a “five”. Moreover, the tendency for exchange rates to cluster generally increases with increases in trading volume and volatility. We also find that the propensity for exchange rates to cluster differs across currencies. Clustering is more prevalent in the indicative quotes for the French franc, Italian lira, UK pound, and Swedish krona, and less prevalent in the indicative quotes for the German mark and Japanese yen.