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Supply contraction and trading protocol: an examination of recent changes in the U.S. Treasury market

Author

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  • Leslie Boni
  • J. Chris Leach

Abstract

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Suggested Citation

  • Leslie Boni & J. Chris Leach, 2002. "Supply contraction and trading protocol: an examination of recent changes in the U.S. Treasury market," Proceedings, Federal Reserve Bank of Cleveland, pages 740-766.
  • Handle: RePEc:fip:fedcpr:y:2002:p:740-766
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    Cited by:

    1. Akay, Ozgur (Ozzy) & Cyree, Ken B. & Griffiths, Mark D. & Winters, Drew B., 2012. "What does PIN identify? Evidence from the T-bill market," Journal of Financial Markets, Elsevier, vol. 15(1), pages 29-46.
    2. Boni, Leslie & Leach, Chris, 2004. "Expandable limit order markets," Journal of Financial Markets, Elsevier, vol. 7(2), pages 145-185, February.
    3. George J. Jiang & Ingrid Lo & Giorgio Valente, 2014. "High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market," Staff Working Papers 14-56, Bank of Canada.
    4. Peter Hördahl & Eli M Remolona & Giorgio Valente, 2015. "Expectations and risk premia at 8:30am: Macroeconomic announcements and the yield curve," BIS Working Papers 527, Bank for International Settlements.
    5. Pasquariello, Paolo & Vega, Clara, 2009. "The on-the-run liquidity phenomenon," Journal of Financial Economics, Elsevier, vol. 92(1), pages 1-24, April.
    6. Darrell Duffie & Haoxiang Zhu, 2015. "Size Discovery," NBER Working Papers 21696, National Bureau of Economic Research, Inc.
    7. Kasing Man & Junbo Wang & Chunchi Wu, 2013. "Price Discovery in the U.S. Treasury Market: Automation vs. Intermediation," Management Science, INFORMS, vol. 59(3), pages 695-714, September.

    More about this item

    Keywords

    Government securities;

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