From Trade-to-Trade in US Treasuries
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Authors
Dungey, Mardi
Henry, Olan
McKenzie, Michael
Publication Date
2010-05Series
CFAP Working Paper
36
Publisher
CFAP, Cambridge Judge Business School, University of Cambridge
Language
English
Type
Working Paper
Metadata
Show full item recordCitation
Dungey, M., Henry, O., & McKenzie, M. (2010). From Trade-to-Trade in US Treasuries. http://www.dspace.cam.ac.uk/handle/1810/225144
Abstract
The aim of this paper is to model the trading intensity of the US Treasury bond market which has a unique expandable limit order book which distinguishes its structure from other asset markets. An analysis of tick data from the eSpeed database suggests that the US bond market displays a greater degree of clustering in trade durations than is evident in other asset markets. Duration is affected by the presence of news particularly in the hour following the release of scheduled news to the markets. Finally, the length of time taken to complete a given transaction, or ‘workup’, has a measurable impact on the trade duration.
Keywords
US Treasuries, trade duration, workups, news
Identifiers
This record's URL: http://www.dspace.cam.ac.uk/handle/1810/225144