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Modeling trade duration in U.S. Treasury markets


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


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:5
Deposited By:Economics and Finance
Deposited On:2013-12-04
Last Modified:2018-04-05

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