کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
8948015 | 1645631 | 2018 | 54 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The microstructure of a U.S. Treasury ECN: The BrokerTec platform
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We assess the microstructure of the U.S. Treasury securities market following its migration to electronic trading. We model price discovery using a vector autoregression model of price and order flow. We show that both trades and limit orders affect price dynamics, suggesting that traders also choose limit orders to exploit their information. Moreover, while limit orders have a smaller price impact, their greater variation contributes more to the variance of price updates. Lastly, we find an increased price impact of trades and especially limit orders following announcements, suggesting that the private information derived from public information is disproportionally exploited through limit orders.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 40, September 2018, Pages 2-22
Journal: Journal of Financial Markets - Volume 40, September 2018, Pages 2-22
نویسندگان
Michael J. Fleming, Bruce Mizrach, Giang Nguyen,