The FOMC announcement returns on long-term US and German bond futures
We examine the impact of monetary policy announcements by the Federal Open Market
Committee (FOMC) on long-term US and German bond futures. Using transaction-level data …
Committee (FOMC) on long-term US and German bond futures. Using transaction-level data …
[HTML][HTML] What do quoted spreads tell us about machine trading at times of market stress? Evidence from Treasury and FX markets during the COVID-19-related market …
D Dobrev, A Meldrum - 2020 - federalreserve.gov
The electronic platforms where recently-issued Treasury securities and Treasury futures
contracts are traded are the most liquid markets for government securities in the world. They …
contracts are traded are the most liquid markets for government securities in the world. They …
High‐frequency trading and market quality: Evidence from account‐level futures data
J Coughlan, AG Orlov - Journal of Futures Markets, 2023 - Wiley Online Library
We use rich regulatory data on intraday transactions and end‐of‐day positions to study how
high‐frequency traders (HFTs) affect futures market quality. Panel estimation evidence …
high‐frequency traders (HFTs) affect futures market quality. Panel estimation evidence …
[HTML][HTML] The treasury market flash event of February 25, 2021
A Aronovich, D Dobrev, A Meldrum - 2021 - federalreserve.gov
On February 25, 2021, there was an unusual" flash" event in US Treasury markets. The
prices of Treasury securities dropped sharply amid strained liquidity conditions, before …
prices of Treasury securities dropped sharply amid strained liquidity conditions, before …