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Liquidity and volatility in the US treasury market
Nguyen, Giang H.; Engle, Robert F.; Fleming, Michael J.; … - In: Journal of econometrics 217 (2020) 2, pp. 207-229
Persistent link: https://www.econbiz.de/10012482750
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The microstructure of a U.S. Treasury ECN : the BrokerTec platform
Fleming, Michael J.; Mizrach, Bruce Marshall; Nguyen, … - In: Journal of financial markets 40 (2018), pp. 2-22
Persistent link: https://www.econbiz.de/10012001820
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Price and size discovery in financial markets : evidence from the U.S. Treasury securities market
Fleming, Michael J.; Nguyen, Giang H. - In: Review of asset pricing studies : RAPS 9 (2019) 2, pp. 256-295
Persistent link: https://www.econbiz.de/10012163321
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Tick size, competition for liquidity provision, and price discovery : evidence from the u.s. treasury market
Fleming, Michael J.; Nguyen, Giang H.; Ruela, Francisco - In: Management science : journal of the Institute for … 70 (2024) 1, pp. 332-354
Persistent link: https://www.econbiz.de/10014470002
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How do Treasury dealers manage their positions?
Fleming, Michael J.; Nguyen, Giang H.; Rosenberg, Joshua V. - In: Journal of financial economics 158 (2024), pp. 1-22
Persistent link: https://www.econbiz.de/10015072537