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Title:The transition to electronic trading in the secondary treasury market PDF Logo
Authors:Mizrach, Bruce
Neely, Christopher J.
Issue Date:2006
Series/Report no.:Working papers // Department of Economics, Rutgers, the State University of New Jersey 2006,03
Abstract:This article reviews the history of the recent shift to electronic trading in equity, foreign ex- change and fixed-income markets. We analyze a new data set: the eSpeed (Cantor Fitzgerald) electronic Treasury network. We contrast the market microstructure of eSpeed with the tradi- tional voice assisted networks that report through GovPX. The electronic market (eSpeed) has greater volume, smaller spreads and a lower estimated impact of a trade than the voice market (GovPX).
Subjects:ECN
market impact
microstructure
spread
treasury bond
JEL:G14
G12
D4
C32
Document Type:Working Paper
Appears in Collections:Working Papers, Department of Economics, Rutgers University

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