Schwartz, Adam L.; Ness, Bonnie F. Van; Ness, Robert A. Van - In: Journal of Futures Markets 24 (2004) 5, pp. 413-428
We document trade price clustering in the futures markets. We find clustering at prices of x.00 and x.50 for S&P 500 futures contracts. While trade price clustering is evident throughout time to maturity of these contracts, there is a dramatic change when the S&P 500 futures contract is...