Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/60923
Authors: 
Fleming, Michael J.
Mizrach, Bruce
Year of Publication: 
2009
Series/Report no.: 
Staff Report, Federal Reserve Bank of New York 381
Abstract: 
This paper assesses the microstructure of the U.S. Treasury securities market, using newly available tick data from the BrokerTec electronic trading platform. Examining trading activity, bid-ask spreads, and depth for on-the-run two-, three-, five-, ten-, and thirty-year Treasury securities, we find that market liquidity is greater than that found in earlier studies that use data only from voice-assisted brokers. We find that the price effect of trades on BrokerTec is quite small and is even smaller once order-book information is considered. Moreover, order-book information itself is shown to affect prices. We also explore a novel feature of BrokerTec - the ability to enter hidden ('iceberg') orders - and find that, as predicted by theory, such orders are more common when price volatility is higher.
Subjects: 
Microstructure
Treasury market
bid-ask spread
price impact
hidden orders
JEL: 
G14
G12
D4
C32
Document Type: 
Working Paper

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