From Trade-to-Trade in US Treasuries

Dungey, Mardi ; Henry, Olan ; McKenzie, Michael (2010-05)

Working Paper

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 from the eSpeed database suggests that the US bond market displays a greater degree of clustering in trade durations than is evident in other asset markets. Duration is affected by the presence of news particularly in the hour following the release of scheduled news to the markets. Finally, the length of time taken to complete a given transaction, or ‘workup’, has a measurable impact on the trade duration.