University of Tasmania
Browse

File(s) under permanent embargo

Modeling trade duration in U.S. Treasury markets

journal contribution
posted on 2023-05-17, 20:52 authored by Dungey, M, Henry, O, McKenzie, M
This paper models the trading intensity of the US Treasury bond market, which has a unique expandable limit order book that distinguishes it from other asset markets. The results indicate that trade duration exhibits signficant clusterng and that the time taken to expand the tradable volume, known as 'workup', significantly decreases the time betwen the initiaton of consecutive trades. Finally, we find that trade duration falls in the presence of scheduled news releases, but the size of the surprise in that news release is not found to be important.

History

Publication title

Quantitative Finance

Volume

13

Issue

9

Pagination

1431-1442

ISSN

1469-7688

Department/School

TSBE

Publisher

Routledge Publishing Ltd

Place of publication

Dirac House, Temple Back, Bristol, England, Bs1 6Be

Rights statement

Copyright 2013 Taylor & Francis

Repository Status

  • Restricted

Socio-economic Objectives

Fiscal policy

Usage metrics

    University Of Tasmania

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC