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From Trade-to-Trade in US Treasuries

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Abstract

The aim of this paper is to model the trading intensity of the US Treasury bond market which has a unique expandable limit order book which distinguishes its structure from other asset markets. An analysis of tick data from the eSpeed database suggests that the US bond market displays a greater degree of clustering in trade durations than is evident in other asset markets. Duration is affected by the presence of news particularly in the hour following the release of scheduled news to the markets. Finally, the length of time taken to complete a given transaction, or ‘workup’, has a measurable impact on the trade duration

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File URL: http://eprints.utas.edu.au/10446/1/DP2010-02_Dungey_Henry_McKenzie_May2010.pdf
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Bibliographic Info

Paper provided by University of Tasmania, School of Economics and Finance in its series Working Papers with number 10446.

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Length: 39 pages
Date of creation: 01 May 2010
Date of revision: 01 May 2010
Publication status: Published by the University of Tasmania. Discussion paper 2010-02
Handle: RePEc:tas:wpaper:10446

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Postal: Private Bag 85, Hobart, Tasmania 7001
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Fax: +61 3 6226 7587
Web page: http://www.utas.edu.au/economics-finance/
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Related research

Keywords: US Treasuries; trade duration; workups; news;

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References

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Cited by:
  1. Dungey, Mardi & Hvozdyk, Lyudmyla, 2012. "Cojumping: Evidence from the US Treasury bond and futures markets," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1563-1575.

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