The microstructure of a U.S. Treasury ECN: The BrokerTec platform

Michael Fleming, Bruce Mizrach and Giang Nguyen

Journal of Financial Markets, 2018, vol. 40, issue C, 2-22

Abstract: We assess the microstructure of the U.S. Treasury securities market following its migration to electronic trading. We model price discovery using a vector autoregression model of price and order flow. We show that both trades and limit orders affect price dynamics, suggesting that traders also choose limit orders to exploit their information. Moreover, while limit orders have a smaller price impact, their greater variation contributes more to the variance of price updates. Lastly, we find an increased price impact of trades and especially limit orders following announcements, suggesting that the private information derived from public information is disproportionally exploited through limit orders.

Keywords: Microstructure; Treasury market; Bid-ask spread; Price impact; Information (search for similar items in EconPapers)
JEL-codes: C32 G12 G14 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (31)

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Related works:
Working Paper: The microstructure of a U.S. Treasury ECN: the BrokerTec platform (2009)
Working Paper: The Microstructure of a U.S. Treasury ECN: The Brokertec Platform (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:40:y:2018:i:c:p:2-22

DOI: 10.1016/j.finmar.2017.05.004

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