This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … normal levels. We investigate how the risks in convergence trading can affect price volatility in a form of positive feedback … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility …

high frequency. The model yields predictions on biweekly patterns of the federal funds rate's volatility and on its … results are consistent with empirical patterns of interest rate volatility in the U.S. market for federal funds …