Browsing School of Technology by Author "McKenzie, Michael"

Now showing items 1-2 of 2

  • 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 ...

  • Venture Capital Fund Performance and the IPO Market 

    McKenzie, Michael; Janeway, William (CFAP, Cambridge Judge Business School, University of Cambridge, 2008)
    In this paper, the investment performance of a large database of venture funds is considered over a 28 year period. The results suggest that a portfolio of venture capital partnerships can provide an average return that ...