Modelling Trade Duration in U.S. Treasury Markets
23 Pages Posted: 2 Dec 2010
Date Written: November 29, 2010
This paper models the trading intensity of the US Treasury bond market, which has a unique expandable limit order book that distinguishes it from other asset markets. The results indicate that the trade duration exhibits significant clustering and threshold effects. Further, the time taken to expand the tradable volume, known as ‘workup’, significantly decreases the time between consecutive trades. Finally, we find that trade duration falls in the presence of scheduled news releases, but not by the size of the surprise in that news.
Keywords: US Treasuries, trade duration, workups, news
JEL Classification: C22, G14
Suggested Citation: Suggested Citation