EconStor >
Federal Reserve Bank of New York >
Staff Reports, Federal Reserve Bank of New York >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/60923
  
Title:The microstructure of a US Treasury ECN: The BrokerTec platform PDF Logo
Authors:Fleming, Michael J.
Mizrach, Bruce
Issue Date: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
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

Files in This Item:
File Description SizeFormat
606277951.pdf464.64 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/60923

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.