Buy-sell imbalances on and around round numbers in cryptocurrencies

Abstract

This paper examines buy-sell imbalances in the cryptocurrency market, focusing on prices on and around round numbers. Using a high-frequency intraday dataset for 18 cryptocurrencies, we find abnormally high buy (sell) pressure just below (above) round number prices, consistent with the existence of psychological biases. Further, we show that cryptocurrencies with higher mining activities, higher average price, and larger average trade size exhibit smaller imbalances. Our findings contribute to the literature by exploring these effects and their implications for market efficiency in digital assets.