U.S. Treasury Market: The High-Frequency Evidence

Handbook of Fixed-Income Securities, First Edition. Edited by Pietro Veronesi. 2015 John Wiley Sons, Inc.

69 Pages Posted: 25 Feb 2016

See all articles by Pierluigi Balduzzi

Pierluigi Balduzzi

Boston College - Carroll School of Management

Fabio Moneta

Telfer School of Management, University of Ottawa

Date Written: July 1, 2014

Abstract

This paper reviews the existing empirical evidence on the time-series behavior of the U.S. Treasury markets at high frequency: daily and intra-day data. The use of high-frequency data in econometric analyses is a major recent development in the study of the fixed income markets: the response of prices to scheduled and unscheduled news, conditional-volatility dynamics, and jump and diffusion behavior, can all be examined much more precisely with high-frequency data. High-frequency data are also important for the characterization of the trading environment as they allow us to examine the immediate impact of trading on prices and how this impact is affected by the presence of macro news. Lastly, the presence and impact of high-frequency trading can only be studied by analyzing high-frequency data.

Keywords: high-frequency data, economic news, volatility, jumps, high-frequency trading

JEL Classification: G12, G14

Suggested Citation

Balduzzi, Pierluigi and Moneta, Fabio, U.S. Treasury Market: The High-Frequency Evidence (July 1, 2014). Handbook of Fixed-Income Securities, First Edition. Edited by Pietro Veronesi. 2015 John Wiley Sons, Inc.. Available at SSRN: https://ssrn.com/abstract=2737106

Pierluigi Balduzzi (Contact Author)

Boston College - Carroll School of Management ( email )

Department of Finance
140 Commonwealth Avenue - Fulton Hall 438
Chestnut Hill, MA 02467
United States
617-552-3976 (Phone)
617-552-0431 (Fax)

HOME PAGE: http://www.bc.edu/bc_org/avp/csom/faculty/

Fabio Moneta

Telfer School of Management, University of Ottawa ( email )

136 Jean-Jacques Lussier Street
Ottawa, Ontario K1N 6N5
Canada

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