IDEAS home Printed from https://ideas.repec.org/p/fip/fednls/87299.html
   My bibliography  Save this paper

Price Impact of Trades and Orders in the U.S. Treasury Securities Market

Author

Abstract

It’s long been known that asset prices respond not only to public information, such as macroeconomic announcements, but also to private information revealed through trading. More recently, with the growth of high-frequency trading, academics have argued that limit orders—orders to buy or sell a security at a specific price or better—also contain information. In this post, we examine the information content of trades and limit orders in the U.S. Treasury securities market, following this paper, recently published in the Journal of Financial Markets and earlier as a New York Fed staff report.

Suggested Citation

  • Michael J. Fleming & Bruce Mizrach & Giang Nguyen, 2018. "Price Impact of Trades and Orders in the U.S. Treasury Securities Market," Liberty Street Economics 20181205, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednls:87299
    as

    Download full text from publisher

    File URL: https://libertystreeteconomics.newyorkfed.org/2018/12/price-impact-of-trades-and-limit-orders-in-the-us-treasury-securities-market.html
    File Function: Full text
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Price impact; limit orders; information; Treasury market;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fednls:87299. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Gabriella Bucciarelli (email available below). General contact details of provider: https://edirc.repec.org/data/frbnyus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.