资源描述：
《Price and Size Discovery inSecurities Market价格和尺寸发现 金融市场： 来自美国财政部地证据 证券市场.pdf》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。
1、FederalReserveBankofNewYorkStaffReportsPriceandSizeDiscoveryinFinancialMarkets:EvidencefromtheU.S.TreasurySecuritiesMarketMichaelFlemingGiangNguyenStaffReportNo.624August2013RevisedAugust2018Thispaperpresentspreliminaryfindingsandisbeingdistributedtoeconomistsandotherinterestedreaderssol
2、elytostimulatediscussionandelicitcomments.TheviewsexpressedinthispaperarethoseoftheauthorsanddonotnecessarilyreflectthepositionoftheFederalReserveBankofNewYorkortheFederalReserveSystem.Anyerrorsoromissionsaretheresponsibilityoftheauthors.PriceandSizeDiscoveryinFinancialMarkets:Evidencefr
3、omtheU.S.TreasurySecuritiesMarketMichaelFlemingandGiangNguyenFederalReserveBankofNewYorkStaffReports,no.624August2013;revisedAugust2018JELclassification:G01,G12,G14,G18AbstractWestudytheworkupprotocol,animportantsizediscoverymechanismintheU.S.Treasurysecuritiesmarket.Wefindthatshocksinwo
4、rkuporderflowexplain6-8percentofthevariationofreturnsonbenchmarknotesand,acrossmaturities,contribute10percenttothevariationoftheyieldcurvelevelfactor.Informationrelatedtoproprietaryclientorderflowismorelikelytoshowupinworkuptrades,whereasinformationderivedfrompublicannouncementsismorelik
5、elytocomethroughpre-workup(or“lit”)trades.Ourfindingshighlighthowthenatureofinformationaffectsthetrade-offbetweenspeedandexecutionpriceasinformedtraderschoosebetweenthelitandworkupchannels.Keywords:darkpool,liquidity,priceimpact,informationshare,fixedincomemarket_________________Fleming:
6、FederalReserveBankofNewYork(email:michael.fleming@ny.frb.org).Nguyen:PennsylvaniaStateUniversity(email:giang.nguyen@psu.edu).Thispaperwaspreviouslycirculatedunderthetitle“OrderFlowSegmentationandtheRoleofDarkPoolTradinginthePriceDiscoveryofU.S.TreasurySecurities.”TheauthorsthankThierryFo
7、ucault(theeditor)andtwoanonymousrefereesforhelpfulcomments.TheyalsothankLeslieBoni,AndrewEllul,LarryHarris,JoelHasbrouck,CharlesJones,PeteKyle,IngridWerner,HaoxiangZhu,participantsattheFirstAnnualSECConferenceonRegulationofFinancialMarkets,the10thAnnualCentralBankWorkshop
