Although the effects of economic news announcements on asset prices are well established, these relationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....

This paper studies the workup protocol, a unique trading feature in the U.S. Treasury securities market that resembles a mechanism for discovering dark liquidity. We quantify its role in the price formation process in a model of the dynamics of price and segmented order flow induced by the...

Remarks at the ACI 2010 World Congress, Sydney, Australia.

Remarks at 2010 CFA Institute Fixed Income Management Conference, Newport Beach, California.

Remarks before the Morris County Chamber of Commerce, Florham Park, New Jersey.

Remarks at New York University's Stern School of Business, New York City.

Remarks at the Annual Meeting with Primary Dealers, New York City.

Remarks at the Forecasters Club of New York, New York City.

Remarks at the Federal Reserve Bank of New York Inflation-Indexed Securities and Inflation Risk Management Conference.