The finding of clustering in financial prices on particular digits is common across a broad range of financial markets. This article explores whether price clustering is also present in the case of the weekly market for seasonal water in rural Victoria, Australia. We find a similar degree of...

In the context of highly liquid markets and intra-day data, Engle and Lange (2001) successfully develop a measure of market depth they call VNET. This article explores the applicability of a modified version of this measure in the case of the weekly market for seasonal water in rural Victoria....