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Modeling trade duration in U.S. Treasury markets
Citation
Dungey, M and Henry, O and McKenzie, M, Modeling trade duration in U.S. Treasury markets, Quantitative Finance, 13, (9) pp. 1431-1442. ISSN 1469-7688 (2013) [Refereed Article]
Copyright Statement
Copyright 2013 Taylor & Francis
DOI: doi:10.1080/14697688.2012.745011
Abstract
This paper models the trading intensity of the US Treasury bond market, which has a unique expandable limit order book that distinguishes it from other asset markets. The results indicate that trade duration exhibits signficant clusterng and that the time taken to expand the tradable volume, known as 'workup', significantly decreases the time betwen the initiaton of consecutive trades. Finally, we find that trade duration falls in the presence of scheduled news releases, but the size of the surprise in that news release is not found to be important.
Item Details
| Item Type: | Refereed Article |
|---|---|
| Keywords: | Bond trading; Workup; Duration; News |
| Research Division: | Economics |
| Research Group: | Applied Economics |
| Research Field: | Macroeconomics (incl. Monetary and Fiscal Theory) |
| Objective Division: | Economic Framework |
| Objective Group: | Macroeconomics |
| Objective Field: | Fiscal Policy |
| UTAS Author: | Dungey, M (Professor Mardi Dungey) |
| ID Code: | 87742 |
| Year Published: | 2013 |
| Web of Science® Times Cited: | 4 |
| Deposited By: | Economics and Finance |
| Deposited On: | 2013-12-04 |
| Last Modified: | 2018-04-05 |
| Downloads: | 0 |
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