Browsing School of Technology by Author "Henry, Olan"

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  • From Trade-to-Trade in US Treasuries 

    Dungey, Mardi; Henry, Olan; McKenzie, Michael (CFAP, Cambridge Judge Business School, University of Cambridge, 2010-05)
    The aim of this paper is to model the trading intensity of the US Treasury bond market which has a unique expandable limit order book which distinguishes its structure from other asset markets. An analysis of tick data ...