From Trade-to-Trade in US Treasuries
Mardi Dungey (),
Ólan Henry () and
No 10446, Working Papers from University of Tasmania, Tasmanian School of Business and Economics
The aim of this paper is to model the trading intensity of the US Treasury bond market which has a unique expandable limit order book which distinguishes its structure from other asset markets. An analysis of tick data from the eSpeed database suggests that the US bond market displays a greater degree of clustering in trade durations than is evident in other asset markets. Duration is affected by the presence of news particularly in the hour following the release of scheduled news to the markets. Finally, the length of time taken to complete a given transaction, or ‘workup’, has a measurable impact on the trade duration
Keywords: US Treasuries; trade duration; workups; news (search for similar items in EconPapers)
JEL-codes: C22 G14 (search for similar items in EconPapers)
Date: 2010-05-01, Revised 2010-05-01
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Published by the University of Tasmania. Discussion paper 2010-02
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Persistent link: https://EconPapers.repec.org/RePEc:tas:wpaper:10446
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