From Trade-to-Trade in US Treasuries (Discussion Paper 2010-02)

@inproceedings{Dungey2010FromTI,
  title={From Trade-to-Trade in US Treasuries (Discussion Paper 2010-02)},
  author={Mardi H. Dungey and {\'O}lan T. Henry and Michael D. McKenzie},
  year={2010}
}
The aim of this paper is to model the trading intensity of the US Treasury bond market which has a unique expandable limit order book which distinguishes its structure from other asset markets. An analysis of tick data from the eSpeed database suggests that the US bond market displays a greater degree of clustering in trade durations than is evident in other asset markets. Duration is affected by the presence of news particularly in the hour following the release of scheduled news to the… CONTINUE READING