High‑Frequency Cross‑Market Trading in U.S. Treasury Markets

Dobrislav Dobrev and Ernst Schaumburg Third in a five-part series The U.S. Treasury market is one of the deepest and most liquid markets in the world, with significant trading in both Treasury futures and benchmark securities. In this post, we examine the pattern of trading activity in these instruments and document the substantial increase in … Continue reading High‑Frequency Cross‑Market Trading in U.S. Treasury Markets