5 posts on "high frequency trading"
February 16, 2016
The Workup, Technology, and Price Discovery in the Interdealer Market for U.S. Treasury Securities
The interdealer market for Treasury securities shares many features with other highly liquid markets that trade electronically using anonymous central limit order books.
October 9, 2015
The Liquidity Mirage
Market efficiency is often pointed to as a main benefit of automated and high-frequency trading (HFT) in U.S. Treasury markets.
August 19, 2015
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 […]
March 10, 2014
Has Automated Trading Promoted Efficiency in the FX Spot Market?
The relative merits of algorithmic and high-frequency trading are most often discussed in the context of equity markets.
May 7, 2012
The Flash Crash, Two Years On
On May 6, 2010, several U.S.-based equity products underwent an extraordinary price decline and recovery, all within less than half an hour.
Posted at 7:00 am in Financial Markets | Permalink
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