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Modeling trade duration in U.S. Treasury markets

Author

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  • Mardi Dungey
  • Olan Henry
  • Michael Mckenzie

Abstract

This paper models the trading intensity of the US Treasury bond market, which has a unique expandable limit order book that distinguishes it from other asset markets. The results indicate that trade duration exhibits significant clustering and that the time taken to expand the tradable volume, known as 'workup', significantly decreases the time between the initiation of consecutive trades. Finally, we find that trade duration falls in the presence of scheduled news releases, but the size of the surprise in that news release is not found to be important.

Suggested Citation

  • Mardi Dungey & Olan Henry & Michael Mckenzie, 2013. "Modeling trade duration in U.S. Treasury markets," Quantitative Finance, Taylor & Francis Journals, vol. 13(9), pages 1431-1442, September.
    • Handle: RePEc:taf:quantf:v:13:y:2013:i:9:p:1431-1442
    DOI: 10.1080/14697688.2012.745011
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    Cited by:

    1. Michael J Fleming & Giang Nguyen, 2019. "Price and Size Discovery in Financial Markets: Evidence from the U.S. Treasury Securities Market," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 9(2), pages 256-295.
    2. Fleming, Michael J. & Mizrach, Bruce & Nguyen, Giang, 2018. "The microstructure of a U.S. Treasury ECN: The BrokerTec platform," Journal of Financial Markets, Elsevier, vol. 40(C), pages 2-22.
    3. Nowak, Sylwia & Anderson, Heather M., 2014. "How does public information affect the frequency of trading in airline stocks?," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 26-38.
    4. Dungey, Mardi & Long, Xiangdong & Ullah, Aman & Wang, Yun, 2014. "A semiparametric conditional duration model," Economics Letters, Elsevier, vol. 124(3), pages 362-366.
    5. Tobias Adrian & Michael J. Fleming & Erik Vogt, 2017. "The Evolution of Treasury Market Liquidity: Evidence from 30 Years of Limit Order Book Data," Staff Reports 827, Federal Reserve Bank of New York.

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