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Information-Based Trading in the Treasury Note Interdealer Broker Market

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Author Info
Huang, Roger D.
Cai, Jun
Wang, Xiaozu
Abstract

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File URL: http://www.sciencedirect.com/science/article/B6WJD-46FS8VG-4/2/de67013d31fa2888ccb64e1f15468dc2
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Article provided by Elsevier in its journal Journal of Financial Intermediation.

Volume (Year): 11 (2002)
Issue (Month): 3 (July)
Pages: 269-296
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Handle: RePEc:eee:jfinin:v:11:y:2002:i:3:p:269-296

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Web page: http://www.elsevier.com/locate/inca/622875

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  1. Geir Hoidal Bjonnes & Dagfinn Rime, 2003. "Dealer Behavior and Trading Systems in Foreign Exchange Markets," Working Paper 2003/10, Norges Bank. [Downloadable!]
    Other versions:
  2. Markus Haberer, 2004. "Might a Securities Transactions Tax Mitigate Excess Volatility?: Some Evidence From the Literature," CoFE Discussion Paper 04-06, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  3. Alessandro Girardi, 2008. "The Informational Content of Trades on the EuroMTS Platform," ISAE Working Papers 97, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
  4. Coluzzi, Chiara & Ginebri, Sergio & Turco, Manuel, 2008. "Measuring and Analyzing the Liquidity of the Italian Treasury Security Wholesale Secondary Market," Economics & Statistics Discussion Papers esdp08044, University of Molise, Dept. SEGeS. [Downloadable!]
  5. Bruce Mizrach & Christopher J. Neely, 2006. "Price discovery in the U.S. treasury market," Working Papers 2005-070, Federal Reserve Bank of St. Louis. [Downloadable!]
  6. Michael J. Fleming, 2003. "Measuring treasury market liquidity," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 83-108. [Downloadable!]
    Other versions:
  7. Bruce Mizrach & Christopher J. Neely, 2007. "The microstructure of the U.S. treasury market," Working Papers 2007-052, Federal Reserve Bank of St. Louis. [Downloadable!]
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