๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Price discovery in the round-the-clock U.S. Treasury market

โœ Scribed by Yan He; Hai Lin; Junbo Wang; Chunchi Wu


Book ID
113710591
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
872 KB
Volume
18
Category
Article
ISSN
1042-9573

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


Price discovery in the treasury futures
โœ Michael W. Brandt; Kenneth A. Kavajecz; Shane E. Underwood ๐Ÿ“‚ Article ๐Ÿ“… 2007 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 165 KB ๐Ÿ‘ 1 views

## Abstract The paper conducts a regression analysis utilizing both futures and cash market prices and net orderflow to determine where price discovery takes place as well as the forces at play that influence the location. Specifically, given the strong theoretical linkage between the U.S. Treasury