The market for U.S. Treasury securities is by many measures the largest, most active debt market in the world, and the securities play a pivotal role in world financial markets. The market has evolved over time in keeping with the changing needs of both the Treasury and investors. After...

We use a supply-demand framework to model the hourly day-ahead spot price of electricity based on publicly available information. With the model we can forecast the level and the probability of a spike in the spot price de¯ned as the spot price being above a certain threshold. Several European...

This article develops a model of spread and depth setting under asymmetric information where the equilibrium depth is proportionally more sensitive than the spread to changes in the degree of information asymmetry. The analysis uses a one-period model in which a risk-neutral, monopolistic market...