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Positive feedback trading under stress: evidence from the US Treasury securities market

In: Market functioning and central bank policy

Citations

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Cited by:

  1. Nathalie Oriol & Iryna Veryzhenko, 2019. "Market structure or traders' behavior? A multi agent model to assess flash crash phenomena and their regulation," Quantitative Finance, Taylor & Francis Journals, vol. 19(7), pages 1075-1092, July.
  2. Stephen Morris & Hyun Song Shin, 2004. "Liquidity Black Holes," Review of Finance, European Finance Association, vol. 8(1), pages 1-18.
  3. Lin, Zhongguo & Hamill, Philip A. & Li, Youwei & Sun, Zhuowei & Waterworth, James, 2020. "How did order-flow impact bond prices during the European Sovereign Debt Crisis?," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 13-24.
  4. Nathalie Oriol & Iryna Veryzhenko, 2015. "Market structure or traders’ behavior? An assessment of flash crash phenomena and their regulation based on a multi-agent simulation," Working Papers halshs-01254435, HAL.
  5. Boni, Leslie & Leach, Chris, 2004. "Expandable limit order markets," Journal of Financial Markets, Elsevier, vol. 7(2), pages 145-185, February.
  6. Chris D'Souza & Charles Gaa & Jing Yang, 2003. "An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds," Staff Working Papers 03-28, Bank of Canada.
  7. Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Yongcheol Shin, 2014. "Quantifying Informational Linkages in a Global Model of Currency Spot Markets," Melbourne Institute Working Paper Series wp2014n17, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  8. Alessandro Girardi & Claudio Impenna, 2013. "Price discovery in the Italian sovereign bonds market: the role of order flow," Temi di discussione (Economic working papers) 906, Bank of Italy, Economic Research and International Relations Area.
  9. Aihua Li, 2021. "Conditional Estimates of Diffusion Processes for Evaluating the Positive Feedback Trading," Papers 2111.12564, arXiv.org.
  10. Demosthenes Tambakis, 2009. "Feedback trading and intermittent market turbulence," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 477-489.
  11. Riccardo Rebonato & Valerio Gaspari, 2006. "Analysis of drawdowns and drawups in the US$ interest-rate market," Quantitative Finance, Taylor & Francis Journals, vol. 6(4), pages 297-326.
  12. Burak Saltoglu & Jon Danielsson, 2003. "Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis," FMG Discussion Papers dp456, Financial Markets Group.
  13. Chayawadee Chai-Anant & Corinna Ho, 2008. "Understanding Asian equity flows, market returns and exchange rates," BIS Working Papers 245, Bank for International Settlements.
  14. Danielsson, Jon & Love, Ryan, 2004. "Feedback trading," LSE Research Online Documents on Economics 24760, London School of Economics and Political Science, LSE Library.
  15. repec:bla:jfinan:v:59:y:2004:i:3:p:1201-1234 is not listed on IDEAS
  16. Fleming, Michael & Nguyen, Giang & Rosenberg, Joshua, 2024. "How do Treasury dealers manage their positions?," Journal of Financial Economics, Elsevier, vol. 158(C).
  17. Jakree Koosakul, 2016. "Daily Movements in the Thai Yield Curve: Fundamental and Non-Fundamental Drivers," PIER Discussion Papers 30, Puey Ungphakorn Institute for Economic Research.
  18. Craig H. Furfine & Eli M. Remolona, 2005. "Price discovery in a market under stress: the U.S. Treasury market in fall 1998," Working Paper Series WP-05-06, Federal Reserve Bank of Chicago.
  19. Arnold, Lutz G. & Brunner, Stephan, 2015. "The economics of rational speculation in the presence of positive feedback trading," The Quarterly Review of Economics and Finance, Elsevier, vol. 57(C), pages 161-174.
  20. Kenneth Khang & Tao-Hsien Dolly King, 2010. "Short horizon liquidity and trading activity in the US Treasury market: do inventory holding costs matter?," Applied Financial Economics, Taylor & Francis Journals, vol. 20(14), pages 1085-1098.
  21. Fan Li & Andrea Mercatanti & Taneli Mäkinen & Andrea Silvestrini, 2019. "A regression discontinuity design for categorical ordered running variables with an application to central bank purchases of corporate bonds," Temi di discussione (Economic working papers) 1213, Bank of Italy, Economic Research and International Relations Area.
  22. Ms. Brenda Gonzalez-Hermosillo & Mr. Vance Martin & Ms. Renee Fry & Mr. Mardi Dungey, 2003. "Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998," IMF Working Papers 2003/084, International Monetary Fund.
  23. Viet Hoang Nguyen & Yongcheol Shin, 2011. "Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics," Melbourne Institute Working Paper Series wp2011n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  24. Mizrach, Bruce & Neely, Christopher J., 2008. "Information shares in the US Treasury market," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1221-1233, July.
  25. Jakree Koosakul, 2016. "Daily Movements in the Thai Yield Curve: Fundamental and Non-Fundamental Drivers," PIER Discussion Papers 30., Puey Ungphakorn Institute for Economic Research, revised Jun 2016.
  26. Jón Daníelsson & Ryan Love, 2006. "Feedback trading This paper is also available at www.riskresearch.org," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 35-53.
  27. Benjamin H Cohen & Hyun Song Shin, 2002. "Positive feedback trading in the US Treasurey market," BIS Quarterly Review, Bank for International Settlements, June.
  28. Chris D'Souza & Charles Gaa, 2004. "The Effects of Economic News on Bond Market Liquidity," Staff Working Papers 04-16, Bank of Canada.
  29. David Porter & Yusif Simaan & Daniel Weaver & David Whitcomb, 2006. "Effect of the Actual Size Rule Under Market Stress," Review of Quantitative Finance and Accounting, Springer, vol. 26(2), pages 87-103, March.
  30. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.
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