Arbeitspapier
The transition to electronic trading in the secondary treasury market
This article reviews the history of the recent shift to electronic trading in equity, foreign ex- change and fixed-income markets. We analyze a new data set: the eSpeed (Cantor Fitzgerald) electronic Treasury network. We contrast the market microstructure of eSpeed with the tradi- tional voice assisted networks that report through GovPX. The electronic market (eSpeed) has greater volume, smaller spreads and a lower estimated impact of a trade than the voice market (GovPX).
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2006-03
- Klassifikation
-
Wirtschaft
Information and Market Efficiency; Event Studies; Insider Trading
Asset Pricing; Trading Volume; Bond Interest Rates
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Thema
-
ECN
market impact
microstructure
spread
treasury bond
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Mizrach, Bruce
Neely, Christopher J.
- Ereignis
-
Veröffentlichung
- (wer)
-
Rutgers University, Department of Economics
- (wo)
-
New Brunswick, NJ
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Arbeitspapier
Beteiligte
- Mizrach, Bruce
- Neely, Christopher J.
- Rutgers University, Department of Economics
Entstanden
- 2006
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