Information-Based Trading in the Treasury Note Interdealer Broker Market
- 1 July 2002
- journal article
- Published by Elsevier in Journal of Financial Intermediation
- Vol. 11 (3) , 269-296
- https://doi.org/10.1006/jfin.2002.0338
Abstract
No abstract availableKeywords
This publication has 35 references indexed in Scilit:
- Price, trade size, and information in securities marketsPublished by Elsevier ,2002
- Economic News and Bond Prices: Evidence from the U.S. Treasury MarketJournal of Financial and Quantitative Analysis, 2001
- Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond marketJournal of Empirical Finance, 2000
- The Impact of Trader Type on the Futures Volatility‐Volume RelationThe Journal of Finance, 1999
- The Treasury Securities Market: Overview and Recent DevelopmentsFederal Reserve Bulletin, 1999
- Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run DependenciesThe Journal of Finance, 1998
- Macroeconomic news and the efficiency of international bond futures marketsJournal of Futures Markets, 1996
- How Markets Process Information: News Releases and VolatilityThe Journal of Finance, 1993
- A Theory of Intraday Patterns: Volume and Price VariabilityThe Review of Financial Studies, 1988
- Distribution of the Estimators for Autoregressive Time Series With a Unit RootJournal of the American Statistical Association, 1979