Abstract
This paper investigates the role and effect of high frequency (HF) trading in the US Treasury market around major macroeconomic news announcements. Based on tick-by-tick activities from a major interdealer trading platform, we identify HF trades and orders in the US Treasury market over the period of January 2004 to June 2007. Our results show that both HF trades and orders increase substantially following news announcements. In particular, more HF limit orders are placed following announcement with unexpected high surprises. Moreover, while HF limit orders help to reduce the bid-ask spread, there is no evidence that they help to improve the order book depth at best quotes. Finally, we provide clear evidence that HF limit orders are less informative than manual orders placed following news announcements.
| Original language | English |
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| Publication status | Presented - 5 Jan 2014 |
| Event | American Finance Association Annual Meetings - Philadelphia, United States Duration: 5 Jan 2014 → 5 Jan 2014 |
Conference
| Conference | American Finance Association Annual Meetings |
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| Place | United States |
| City | Philadelphia |
| Period | 5/01/14 → 5/01/14 |