Price Impact of Trades and Orders in the U.S. Treasury Securities Market

Michael Fleming, Bruce Mizrach and Giang Nguyen

No 20181205, Liberty Street Economics from Federal Reserve Bank of New York

Abstract: It’s long been known that asset prices respond not only to public information, such as macroeconomic announcements, but also to private information revealed through trading. More recently, with the growth of high-frequency trading, academics have argued that limit orders—orders to buy or sell a security at a specific price or better—also contain information. In this post, we examine the information content of trades and limit orders in the U.S. Treasury securities market, following this paper, recently published in the Journal of Financial Markets and earlier as a New York Fed staff report.

Keywords: Price impact; limit orders; information; Treasury market (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2018-12-05
New Economics Papers: this item is included in nep-mst
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