Modeling trade duration in U.S. Treasury markets |
| |
| Authors: | Mardi Dungey Olan Henry |
| |
| Institution: | 1. Department of Economics and Finance , University of Tasmania , Private Bag 85, Sandy Bay, Hobart , Tasmania , Australia;2. CFAP, University of Cambridge , Trumpington St, Cambridge CB2 1AG , UK;3. University of Liverpool , Liverpool , UK |
| |
| Abstract: | 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 significant clustering and that the time taken to expand the tradable volume, known as ‘workup’, significantly decreases the time between the initiation 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. |
| |
| Keywords: | Bond trading Workup Duration News |
|
|
