Strategic Order Flow in the On-the-run and Off-the-run Bond Markets PDF Download

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Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Paolo Pasquariello
Publisher:
ISBN:
Category : Government securities
Languages : en
Pages : 56

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Author: Clara Vega
Publisher:
ISBN:
Category :
Languages : en
Pages : 57

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We analyze the role private and public information play in the U.S. Treasury bond price discovery process. To guide our analysis, we develop a parsimonious model of speculative trading in the presence of two realistic market frictions, information heterogeneity and imperfect competition among informed traders. We test its equilibrium implications by studying the response of 2-year, 5-year, and 10-year U.S. bond yields to order flow and real-time U.S. macroeconomic news. Consistent with the stylized model, we find that unanticipated order flow explains a bigger portion of bond yield changes when the dispersion of beliefs across informed traders is high and public announcements are noisy.

Author: Antoine Bouveret
Publisher: International Monetary Fund
ISBN: 1513576224
Category : Business & Economics
Languages : en
Pages : 44

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Changes in the structure of the U.S. Treasury market over recent years may have increased risks to financial stability. Traditional market makers have changed their liquidity provision by increasingly switching from risk warehousing to risk distribution, and a new breed of market maker has emerged with the rise of electronic trading. The “flash rally” of October 15, 2014 provides a clear example of how those risks can materialize. Based on an in-depth analysis of the event—complementing the authorities’ work—we suggest i) providing incentives for liquidity provision, ii) improving market safeguards, and iii) enhancing the regulation of the Treasury market.

Author: Frank de Jong
Publisher: Cambridge University Press
ISBN: 1139478443
Category : Business & Economics
Languages : en
Pages : 209

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The analysis of the microstructure of financial markets has been one of the most important areas of research in finance and has allowed scholars and practitioners alike to have a much more sophisticated understanding of the dynamics of price formation in financial markets. Frank de Jong and Barbara Rindi provide an integrated graduate level textbook treatment of the theory and empirics of the subject, starting with a detailed description of the trading systems on stock exchanges and other markets and then turning to economic theory and asset pricing models. Special attention is paid to models explaining transaction costs, with a treatment of the measurement of these costs and the implications for the return on investment. The final chapters review recent developments in the academic literature. End-of-chapter exercises and downloadable data from the book's companion website provide opportunities to revise and apply models developed in the text.

Author: Mr.Peter Dattels
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 106

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This paper applies the “market microstructure” literature to the specific features of government securities markets and draws implications for the strategy to develop government securities markets. It argues for an active role of the authorities in fostering the development of efficient market structures.

Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 1513573926
Category : Business & Economics
Languages : en
Pages : 157

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This guidance note was prepared by International Monetary Fund (IMF) and World Bank Group staff under a project undertaken with the support of grants from the Financial Sector Reform and Strengthening Initiative, (FIRST).The aim of the project was to deliver a report that provides emerging market and developing economies with guidance and a roadmap in developing their local currency bond markets (LCBMs). This note will also inform technical assistance missions in advising authorities on the formulation of policies to deepen LCBMs.

Author: Frank J. Fabozzi
Publisher: MIT Press
ISBN: 026204627X
Category : Business & Economics
Languages : en
Pages : 937

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The updated edition of a widely used textbook that covers fundamental features of bonds, analytical techniques, and portfolio strategy. This new edition of a widely used textbook covers types of bonds and their key features, analytical techniques for valuing bonds and quantifying their exposure to changes in interest rates, and portfolio strategies for achieving a client’s objectives. It includes real-world examples and practical applications of principles as provided by third-party commercial vendors. This tenth edition has been substantially updated, with two new chapters covering the theory and history of interest rates and the issues associated with bond trading. Although all chapters have been updated, particularly those covering structured products, the chapters on international bonds and managing a corporate bond portfolio have been completely revised. The book covers the basic analytical framework necessary to understand the pricing of bonds and their investment characteristics; sectors of the debt market, including Treasury securities, corporate bonds, municipal bonds, and structured products (residential and commercial mortgage-backed securities and asset-backed securities); collective investment vehicles; methodologies for valuing bonds and derivatives; corporate bond credit risk; portfolio management, including the fundamental and quantitative approaches; and instruments that can be used to control portfolio risk.

Author: James F. Dalton
Publisher: John Wiley & Sons
ISBN: 9781118044643
Category : Business & Economics
Languages : en
Pages : 224

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Markets in Profile explores the confluence of three disparate philosophical frameworks: the Market Profile, behavioral finance, and neuroeconomics in order to present a unified theory of how markets work. The Market Profile is an ever-evolving, multidimensional graphic that gives visual form to the market's continuing auction process, revealing the myriad underlying dynamics that influence market activity. Behavioral finance posits that investors are driven more by emotional factors and the subjective interpretation of minutia than by "rationality" when making investment decisions. And neuroeconomics is the study of how investor psychology permeates and affects the financial markets. Mr. Dalton explicates the ways in which irrational human behavior influences the market's natural auction process, creating frequently predictable market structure, which results in opportunities for investors to ameliorate risk. The book will improve investors ability to interpret change in markets, enabling better, more confident investment decisions.

Author: American Bar Association. House of Delegates
Publisher: American Bar Association
ISBN: 9781590318737
Category : Law
Languages : en
Pages : 216

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Book Description
The Model Rules of Professional Conduct provides an up-to-date resource for information on legal ethics. Federal, state and local courts in all jurisdictions look to the Rules for guidance in solving lawyer malpractice cases, disciplinary actions, disqualification issues, sanctions questions and much more. In this volume, black-letter Rules of Professional Conduct are followed by numbered Comments that explain each Rule's purpose and provide suggestions for its practical application. The Rules will help you identify proper conduct in a variety of given situations, review those instances where discretionary action is possible, and define the nature of the relationship between you and your clients, colleagues and the courts.