The Microstructure of a U.S. Treasury ECN PDF Download
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Author: Michael J. Fleming
Publisher:
ISBN:
Category :
Languages : en
Pages : 54
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Book Description
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.
Author: Michael J. Fleming
Publisher:
ISBN:
Category :
Languages : en
Pages : 54
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Book Description
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.
Author: Michael J. Fleming
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Bruce Mizrach
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
"This article discusses the microstructure of the U.S. Treasury securities market. Treasury securities are nominally riskless debt instruments issued by the U.S. government. Microstructural analysis is a field of economics/finance that examines the roles played by heterogenous agents, institutional detail, and asymmetric information in the trading process. The article describes types of Treasury issues; stages of the Treasury market; the major players, including the role of the Federal Reserve Bank of New York and the interdealer brokers; the structure of both the spot and futures markets; the findings of the seasonality/announcement and order book literature; and research on price discovery. We conclude by discussing possible future avenues of research"--Federal Reserve Bank of St. Louis web site.
Author: Frank de Jong
Publisher: Cambridge University Press
ISBN: 1139478443
Category : Business & Economics
Languages : en
Pages : 209
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Book Description
The analysis of the microstructure of financial markets has been one of the most important areas of research in finance and has allowed scholars and practitioners alike to have a much more sophisticated understanding of the dynamics of price formation in financial markets. Frank de Jong and Barbara Rindi provide an integrated graduate level textbook treatment of the theory and empirics of the subject, starting with a detailed description of the trading systems on stock exchanges and other markets and then turning to economic theory and asset pricing models. Special attention is paid to models explaining transaction costs, with a treatment of the measurement of these costs and the implications for the return on investment. The final chapters review recent developments in the academic literature. End-of-chapter exercises and downloadable data from the book's companion website provide opportunities to revise and apply models developed in the text.
Author: Antoine Bouveret
Publisher: International Monetary Fund
ISBN: 1513576224
Category : Business & Economics
Languages : en
Pages : 44
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Book Description
Changes in the structure of the U.S. Treasury market over recent years may have increased risks to financial stability. Traditional market makers have changed their liquidity provision by increasingly switching from risk warehousing to risk distribution, and a new breed of market maker has emerged with the rise of electronic trading. The “flash rally” of October 15, 2014 provides a clear example of how those risks can materialize. Based on an in-depth analysis of the event—complementing the authorities’ work—we suggest i) providing incentives for liquidity provision, ii) improving market safeguards, and iii) enhancing the regulation of the Treasury market.
Author: Larry Harris
Publisher: OUP USA
ISBN: 9780195144703
Category : Business & Economics
Languages : en
Pages : 664
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Book Description
Focusing on market microstructure, Harris (chief economist, U.S. Securities and Exchange Commission) introduces the practices and regulations governing stock trading markets. Writing to be understandable to the lay reader, he examines the structure of trading, puts forward an economic theory of trading, discusses speculative trading strategies, explores liquidity and volatility, and considers the evaluation of trader performance. Annotation (c)2003 Book News, Inc., Portland, OR (booknews.com).
Author: Joel Hasbrouck
Publisher: Oxford University Press
ISBN: 0198041306
Category : Business & Economics
Languages : en
Pages : 209
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Book Description
The interactions that occur in securities markets are among the fastest, most information intensive, and most highly strategic of all economic phenomena. This book is about the institutions that have evolved to handle our trading needs, the economic forces that guide our strategies, and statistical methods of using and interpreting the vast amount of information that these markets produce. The book includes numerous exercises.
Author: Peter Wann
Publisher: Praeger
ISBN:
Category : Antiques & Collectibles
Languages : en
Pages : 356
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Book Description
A comprehensive and practical guide to the United States Treasury bond market, this timely book offers a detailed introduction to the workings of the largest government debt market in the world and the investment opportunities it provides. Wann begins by outlining the history and development of the market, explaining how it operates and examining the parts played by dealers, investors, and the U.S. government authorities. The U.S. Treasury market is compared with the UK gilts market and its economic and political background is analyzed. He goes on to provide an introduction to investment theory and analytical methods, including yield and return calculations, and looks at futures and options contracts on treasury bonds. The book concludes with a consideration of more advanced investment theory and investment strategies. The appendices include bond-equivalent yield calculations, formal mathematical proofs, statistical data on U.S. government finances since 1789, and a comprehensive glossary. Written by the Senior Economist in the London office of a major U.S. investment house, Inside the U.S. Treasury Market is an authoritative and important book. It will be particularly useful for fund managers, investment analysts, brokers, bankers, and corporate treasurers.
Author: Joseph Rosen
Publisher:
ISBN: 9780981464602
Category : Electronic trading of securities
Languages : en
Pages : 0
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Book Description
This book provides a comprehensive look at the challenges of keeping up with liquidity needs and technology advancements. It is also a sourcebook for understandable, practical solutions on trading and technology.
Author: Antoine Bouveret
Publisher: International Monetary Fund
ISBN: 1513566474
Category : Business & Economics
Languages : en
Pages : 44
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Book Description
Changes in the structure of the U.S. Treasury market over recent years may have increased risks to financial stability. Traditional market makers have changed their liquidity provision by increasingly switching from risk warehousing to risk distribution, and a new breed of market maker has emerged with the rise of electronic trading. The “flash rally” of October 15, 2014 provides a clear example of how those risks can materialize. Based on an in-depth analysis of the event—complementing the authorities’ work—we suggest i) providing incentives for liquidity provision, ii) improving market safeguards, and iii) enhancing the regulation of the Treasury market.
