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High Frequency Trading in the US Treasury Market: Evidence around macroeconomic news announcements
发布时间:2013-5-3 来源:本站原创  


周二(57日)上午 10:00学术讲座通知:

 

主讲人:George Jiang, Washington State University

 

演讲题目:High Frequency Trading in the US Treasury Market: Evidence around macroeconomic news announcements

 

讲座语言:英语

 

地点:武东路100号同德楼 111

 

Abstract

 

This paper investigates high frequency (HF) trading in the US Treasury market around major macroeconomic news announcements.

Using a comprehensive tick-by-tick dataset, we identify HF trades and limit orders based on the speed of submission that is deemed to be beyond manual capacity. Our results show that HF trading activity is substantially higher following news announcements.

While HF trades and limit orders tend to increase bond return volatility, they have mixed effects on market liquidity in the US Treasury market. In addition, while HF trades are more informative than non-HF trades, HF limit orders are consistently less informative than non-HF counterparts. Finally, we provide evidence that HF trades enhance price efficiency during post-announcement period.

 

 

 

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