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The Microstructure of a U.S. Treasury ECN: The Brokertec Platform
Fleming, Michael; Mizrach, Bruce - Department of Economics, Rutgers University-New Brunswick - 2008
This paper assesses the microstructure of the U.S. Treasury securities market using tick data from the BrokerTec …
Persistent link: https://www.econbiz.de/10005800375
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Price Discovery in the Dual-Platform US Treasury Market
Sun, Zhuowei; Dunne, Peter G.; Li, Youwei - Volkswirtschaftliche Fakultät, … - 2015
Inter-dealer trading in US Treasury securities is almost equally divided between two electronic trading platforms that have only slight differences in terms of their relative liquidity and transparency. BrokerTec is more active in the trading of 2-, 5-, and 10-year T-notes while eSpeed has more...
Persistent link: https://www.econbiz.de/10011157015
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A Structural Approach To Information Shares
Korenok, Oleg; Mizrach, Bruce; Radchenko, Stanislav - Department of Economics, Rutgers University-New Brunswick - 2011
microstructure models. We map carefully the relationship between the structural parameters and four alternative measures of price …
Persistent link: https://www.econbiz.de/10009372747
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The Transition to Electronic Trading in the Secondary Treasury Market
Mizrach, Bruce; Neely, Chris - Department of Economics, Rutgers University-New Brunswick - 2006
microstructure of eSpeed with the tradi- tional voice assisted networks that report through GovPX. The electronic market (eSpeed) has …
Persistent link: https://www.econbiz.de/10005626684
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Explaining the bid-ask spread in the foreign exchange market: A test of alternate models
Treepongkaruna, Sirimon; Brailsford, Tim; Gray, Stephen - In: Australian Journal of Management 39 (2014) 4, pp. 573-591
This paper attempts to uncover the determinants of the dealer bid-ask spread in the foreign exchange market. Prior research has examined the Huang–Masulis model wherein the spread is modelled as a function of dealer competition and volatility. We first extend this model to a much larger...
Persistent link: https://www.econbiz.de/10011135774
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Time and price impact of a trade: A structural approach
Grammig, Joachim; Theissen, Erik; Wuensche, Oliver - Institut für Finanzmarktforschung, Wirtschafts- und … - 2007
derived from Easley and O'Hara's (1992) microstructure model. This paper revisits the role of time in measuring the price …
Persistent link: https://www.econbiz.de/10010957184
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Information Shares in the U.S. Treasury Market
Mizrach, Bruce - 2007
This paper characterizes the tatonnement of high-frequency returns from U.S. Treasury spot and futures markets. In particular, we highlight the previously neglected role of the futures markets in price discovery. The highest futures market shares are in the longest maturities. The estimates of...
Persistent link: https://www.econbiz.de/10012728973
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Price Discovery in the U.S. Treasury Market
Mizrach, Bruce - 2006
This paper is the first to characterize the tatonnement of high-frequency returns from U.S. Treasury spot and futures markets. In particular, we highlight the previously neglected role of the futures markets in price discovery. The lower-bound estimate of bivariate information shares for 30-year...
Persistent link: https://www.econbiz.de/10012732956
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Changes in REIT liquidity 1988 - 2007: Evidence from daily data
Cannon, Susanne E.; Cole, Rebel A. - Volkswirtschaftliche Fakultät, … - 2008
focus upon liquidity measures that do not require micro-structure data (1) to facilitate use of our results as benchmarks … for comparisons with results from international markets for which micro-structure data may be unavailable, (2) to provide … benchmarks that do not require access to costly (and voluminous) micro-structure data. We find that REIT liquidity improved …
Persistent link: https://www.econbiz.de/10008615006
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Price Discovery in Currency Markets
Osler, Carol; Mende, Alexander; Menkhoff, Lukas - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2006
This paper makes three contributions to our understanding of the price discovery process in currency markets. First, it provides evidence that this process cannot be the familiar one based on adverse selection and customer spreads, since such spreads are inversely related to a trade's likely...
Persistent link: https://www.econbiz.de/10005464656