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Private information flow and price discovery in the U.S. treasury market

โœ Scribed by Jiang, George J.; Lo, Ingrid


Book ID
125832317
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
566 KB
Volume
47
Category
Article
ISSN
0378-4266

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Price discovery in the treasury futures
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## 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