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dc.contributor.authorDungey, Mardi
dc.contributor.authorHenry, Olan
dc.contributor.authorMcKenzie, Michael
dc.date.accessioned2010-05-19T08:56:57Z
dc.date.available2010-05-19T08:56:57Z
dc.date.issued2010-05
dc.identifier.citationJEL Classification: C22, G14en
dc.identifier.urihttp://www.dspace.cam.ac.uk/handle/1810/225144
dc.description.abstractThe 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.en
dc.language.isoenen
dc.publisherCFAP, Cambridge Judge Business School, University of Cambridgeen
dc.relation.ispartofseriesCFAP Working Paperen
dc.relation.ispartofseries36en
dc.rightsAll Rights Reserveden
dc.rights.urihttps://www.rioxx.net/licenses/all-rights-reserved/en
dc.subjectUS Treasuriesen
dc.subjecttrade durationen
dc.subjectworkupsen
dc.subjectnewsen
dc.titleFrom Trade-to-Trade in US Treasuriesen
dc.typeWorking Paperen
dc.type.versionpublished versionen


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