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 protocol. We find that the dark liquidity pool generally contains … liquidity providers to guard against adverse price movements than as a channel to hide private information. …

We examine the role of price discovery in the U.S. Treasury market through the empirical relationship between orderflow … price discovery on understanding the behavior of the yield curve …

the market's liquidity and price efficiency. Employing difference-indifference regressions, we find that the bid … reflect true value, resulting in greater price efficiency. Price informativeness remains largely similar before and after …

price - a seller’s obligation to deliver Treasury securities if the seller fails to deliver the securities on a scheduled …

Existing studies show that U.S. Treasury bond price changes are mainly driven by public information shocks, as … contributes significantly to price discovery for U.S. Treasury securities. In this paper, we use high frequency transaction data … effectively captures permanent price effects in U.S. Treasury securities. In addition, our results show that public information …