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The transition to electronic communications networks in the secondary treasury market

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Author Info
Bruce Mizrach
Christopher J. Neely

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Abstract

This article reviews the history of the recent shift to electronic trading in equity, foreign exchange, and fixed-income markets. The authors analyze a new data set: the eSpeed electronic Treasury network. They contrast the market microstructure of the eSpeed trading platform with the traditional voice-assisted networks that report through GovPX. The electronic market (eSpeed) has greater volume, smaller spreads, and a lower estimated trade impact than the voice market (GovPX). ; Appeared earlier as Working Paper 2006-012

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Publisher Info
Article provided by Federal Reserve Bank of St. Louis in its journal Review.

Volume (Year): (2006)
Issue (Month): Nov ()
Pages: 527-542
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Handle: RePEc:fip:fedlrv:y:2006:i:nov:p:527-542:n:v.88no.6

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Keywords: Electronic commerce ; Electronic funds transfers;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Bruce Mizrach & Christopher J. Neely, 2007. "Information shares in the U.S. treasury market," Working Papers 2005-070, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
  2. Kenneth D. Garbade & Jeffrey F. Ingber, 2005. "The Treasury auction process: objectives, structure, and recent acquisitions," Current Issues in Economics and Finance, Federal Reserve Bank of New York, issue Feb. [Downloadable!]
  3. Michael J. Fleming, 1997. "The round-the-clock market for U.S. Treasury securities," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 9-32. [Downloadable!]
  4. Michael J. Fleming, 2002. "Are larger Treasury issues more liquid? Evidence from bill reopenings," Proceedings, Federal Reserve Bank of Cleveland, pages 707-739.
    Other versions:
  5. Hasbrouck, Joel, 1991. " Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March. [Downloadable!] (restricted)
  6. Bruce Mizrach, 2006. "Does SIZE Matter? Liquidity Provision by the Nasdaq Anonymous Trading Facility," Departmental Working Papers 200602, Rutgers University, Department of Economics. [Downloadable!]
  7. repec:rus:hseeco:72158 is not listed on IDEAS
  8. Nicholas Economides & Robert Schwartz,, . "Electronic Call Market Trading," Financial Networks _001, Economics of Networks. [Downloadable!]
    Other versions:
  9. Nyborg, Kjell G. & Sundaresan, Suresh, 1996. "Discriminatory versus uniform Treasury auctions: Evidence from when-issued transactions," Journal of Financial Economics, Elsevier, vol. 42(1), pages 63-104, September. [Downloadable!] (restricted)
  10. 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:
  11. John Rust & George Hall, 2003. "Middlemen versus Market Makers: A Theory of Competitive Exchange," Journal of Political Economy, University of Chicago Press, vol. 111(2), pages 353-403, April. [Downloadable!] (restricted)
    Other versions:
  12. Michael J. Barclay & Terrence Hendershott & Kenneth Kotz, 2006. "Automation versus Intermediation: Evidence from Treasuries Going Off the Run," Journal of Finance, American Finance Association, vol. 61(5), pages 2395-2414, October. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Michael J. Fleming & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports 299, Federal Reserve Bank of New York. [Downloadable!]
  2. Bongjin Kim & Mark M. Suazo & John E. Prescott, . "Exploring the Cognitive Nature of Boards of Directors and Its Implication for Board Effectiveness," Working Papers 0032, College of Business, University of Texas at San Antonio. [Downloadable!]
  3. Mardi Dungey & Michael McKenzie & Vanessa Smith, 2007. "Empirical Evidence On Jumps In The Term Structure Of The Us Treasury Market," CAMA Working Papers 2007-25, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
  4. 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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