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The microstructure of a U.S. Treasury ECN: The BrokerTec platform · Study

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ArticleThe microstructure of a U.S. Treasury ECN: The BrokerTec platform

Michael J. Fleming2017

Article2017

The microstructure of a U.S. Treasury ECN: The BrokerTec platform

Michael J. Fleming · Bruce Mizrach · Giang Nguyen

81 citations·0/0 files stored·Journal of Financial Markets

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1991Measuring the Information Content of Stock Trades 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse 2001Economic News and Bond Prices: Evidence from the U.S. Treasury Market 1999Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information 2008Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market 2014Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market 2015High frequency market microstructure 1991The Summary Informativeness of Stock Trades: An Econometric Analysis

Cited by

2019Inverted fee structures, tick size, and market quality 2013Liquidity and Volatility in the U.S. Treasury Market 2014DEALER INTERMEDIATION BETWEEN MARKETS 2023Dealer Capacity and U.S. Treasury Market Functionality 2012On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements 2020Liquidity and volatility in the U.S. Treasury market

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2009The Microstructure of a U.S. Treasury ECN: The BrokerTec Platformpreprint · 23 shared references 2020Liquidity and volatility in the U.S. Treasury marketarticle · 11 shared references 2014Private information flow and price discovery in the U.S. treasury marketarticle · 10 shared references 2013Liquidity and Volatility in the U.S. Treasury Marketpreprint · 9 shared references 2009Price discovery in the round-the-clock U.S. Treasury marketarticle · 9 shared references 2010The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returnsarticle · 8 shared references

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Year2017

Typearticle

Published2017-05-31

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations81

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.finmar.2017.05.004

openalex_workW3124169602

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2011What does PIN identify? Evidence from the T-bill market

2018Government Intervention and Strategic Trading in the U.S. Treasury Market