The microstructure of a US Treasury ECN: The BrokerTec platform

Arbeitspapier

This paper assesses the microstructure of the U.S. Treasury securities market, using newly available tick data from the BrokerTec electronic trading platform. Examining trading activity, bid-ask spreads, and depth for on-the-run two-, three-, five-, ten-, and thirty-year Treasury securities, we find that market liquidity is greater than that found in earlier studies that use data only from voice-assisted brokers. We find that the price effect of trades on BrokerTec is quite small and is even smaller once order-book information is considered. Moreover, order-book information itself is shown to affect prices. We also explore a novel feature of BrokerTec - the ability to enter hidden ('iceberg') orders - and find that, as predicted by theory, such orders are more common when price volatility is higher.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Staff Report ; No. 381

Klassifikation und Themen

• 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: Microstructure ; Treasury market ; bid-ask spread ; price impact ; hidden orders

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Fleming, Michael J. ; Mizrach, Bruce
• Ereignis: Veröffentlichung
• (wer): Federal Reserve Bank of New York
• (wo): New York, NY
• (wann): 2009

Weitere Informationen

• Handle: http://hdl.handle.net/10419/60923
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ