posted on 2023-05-17, 20:52authored byDungey, 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.