The Microstructure of a U.S. Treasury ECN: The Brokertec Platform
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- Fleming, Michael J. & Mizrach, Bruce & Nguyen, Giang, 2009. "The microstructure of a U.S. Treasury ECN: the BrokerTec platform," Staff Reports 381, Federal Reserve Bank of New York, revised 01 Mar 2017.
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More about this item
Keywordsmicrostructure; Treasury market; bid-ask spread; price impact; hidden orders;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- D4 - Microeconomics - - Market Structure, Pricing, and Design
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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