Positive Feedback Trading Under Stress: Evidence from the US Treasury Securities Market
Preprint
- 1 January 2002
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
A vector autoregression is estimated on tick-by-tick data for quote-changes and signed trades of 2-year, 5-year and 10-year on-the-run US Treasury notes. ConfirKeywords
All Related Versions
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