Market Manipulation, Price Bubbles, and a Model of the U.S. Treasury Securities Auction Market

1998 ◽  
Vol 33 (2) ◽  
pp. 255 ◽  
Author(s):  
Arkadev Chatterjea ◽  
Robert A. Jarrow
Keyword(s):  
Market Manipulation ◽  
Treasury Securities ◽  
Auction Market ◽  
Price Bubbles ◽  
The U.S

Has Quantitative Easing Affected the U.S. Treasury Auction Market?

2015 ◽  
Vol 43 (1) ◽  
pp. 135-146 ◽  
Author(s):  
Catherine L. Mann ◽  
Oren Klachkin
Keyword(s):  
Quantitative Easing ◽  
Auction Market ◽  
Treasury Auction ◽  
The U.S

scholarly journals Price and Size Discovery in Financial Markets: Evidence from the U.S. Treasury Securities Market

2018 ◽  
Vol 9 (2) ◽  
pp. 256-295 ◽  
Author(s):  
Michael J Fleming ◽  
Giang Nguyen
Keyword(s):  
Yield Curve ◽  
Securities Market ◽  
Order Flow ◽  
Treasury Securities ◽  
Oxford University ◽  
Informed Traders ◽  
Nature Of Information ◽  
Editorial Decision ◽  
To Come ◽  
The U.S

Abstract We study the workup protocol, an important size discovery mechanism in the U.S. Treasury market. We find that workup order flow shocks explain 6%–8% of the variation of returns on benchmark notes and, across maturities, 10% of the variation of the yield curve level factor. Information related to proprietary client order flow is more likely to show up in workup trades, whereas information derived from public announcements tends to come through preworkup trades. Our findings highlight how the nature of information affects the trade-off between speed and execution price when informed traders choose between the lit and workup channels. Received May 3, 2017; Editorial decision August 1, 2018 by Editor Thierry Foucault. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online. Internet Appendix tables are numbered with “IA” prefix.

United States Treasury Securities

2019 ◽  
pp. 121-138
Author(s):  
Alan N. Rechtschaffen
Keyword(s):  
Interest Rates ◽  
Federal Government ◽  
Yield Curve ◽  
Fixed Income ◽  
Fixed Income Securities ◽  
United States Treasury ◽  
Treasury Bills ◽  
Treasury Securities ◽  
Treasury Department ◽  
The U.S

This chapter begins with a discussion of the purpose and goals of treasury securities. Treasury securities are a type of debt instrument providing limited credit risk. U.S. Treasury bills, notes, and bonds are issued by the Treasury Department and represent direct obligations of the U.S. government. Treasury securities are used to meet the needs of investors who wish to “loan” money to the federal government and in return receive a fixed or floating interest rate. The Treasury yield curve is a benchmark for fixed income securities across the spectrum of debt securities. The remainder of the chapter covers types of treasury securities, pricing, bond auctions and their effect on price, interest rates, and STRIPS (separate trading of registered interest and principal securities).

Methods for reducing stress during transport and handling

1995 ◽  
Vol 1995 ◽  
pp. 41-41
Author(s):  
Temple Grandin
Keyword(s):  
Beef Cattle ◽  
Rapid Growth ◽  
High Speed ◽  
Auction Market ◽  
Single File ◽  
Pile Up ◽  
Selection For ◽  
Reducing Stress ◽  
The U.S

Stress can be reduced during transport and handling by training people to use behavioral principles when handling animals, selecting livestock with a calm temperament and using well designed handling facilities and vehicles. In the U.S., there are increasing problems with very excitable cattle and pigs which are very difficult to handle and drive. Gentle, quiet handling of excitable genetic lines of pigs in single file races in a high speed slaughter plant is extremely difficult. Excitable pigs are more easily distracted by small distractions such as a sparkling reflection on the floor and are more likely to balk and pile up. Some excitable genetic lines of pigs have greatly elevated death losses during transport. Excitable animals are more fearful of novel new situations than calmer genetic lines. Similar excitability problems are being observed in cattle. Excitable genetic lines of cattle are more likely to severely injure themselves or handlers during handling because they are more likely to panic when confronted with novelty. The author has observed cattle from excitable genetic lines that went into a total panic when they were in novel surroundings. Excitability problems are more likely to cause problems in the U.S. due to very extensive raising of cattle. Excitable cattle that are reared intensively become accustomed to people and vehicles and they are more tolerant of novel situations than excitable cattle reared on open rangeland where they seldom see people. Excitable genetic lines of cattle which are completely halter broken become trained to accept novelty and will usually remain calm, but when these same animals are raised extensively where they seldom see people, they often panic and injure themselves when they are brought to an auction market or slaughter plant. Breeders need to select animals that have a calm temperament. Recent research in our laboratory has shown that the position of the spiral hair whorls on the foreheads of beef cattle is related to temperament. Beef cattle with high hair whorls located above the eyes become more agitated during restraint in a squeeze chute compared to cattle with hair whorls located between or below the eyes. Indiscriminant selection for rapid growth and leanness has contributed to this problem. Excitable genetic lines of cattle and pigs are causing serious welfare problems during handling in the U.S.

scholarly journals A VAR Analysis Of US-China Economic Linkages

2011 ◽  
Vol 8 (7) ◽  
Author(s):  
Dene T. Hurley
Keyword(s):  
Interest Rates ◽  
Impulse Response ◽  
Significant Role ◽  
Variance Decomposition ◽  
Short Term ◽  
Treasury Bill ◽  
Treasury Securities ◽  
Var Analysis ◽  
The U.S

An increase in Chinese purchases of U.S. treasury securities in parallel with Chinas commitment to maintain the value of the Yuan have been blamed in recent years for the divergence of the U.S. long-term and short-term interest rates. Results of the VECM, variance decomposition and impulse response analyses provided support for the growing speculations that growing Chinese demand for U.S. securities played a significant role in keeping the 10-year Treasury bill rate low while keeping the Yuan weak relative to the U.S. dollar. As for the U.S. long-term and short-term interest rates, the causality was found to run from the 10-year Treasury bill yield to the s rate which helps to explain why rising short-term rate in the U.S. since mid-2004 had little or no impact on the long-term rate.

scholarly journals Three Essays on the U.S. Treasury Market

2021 ◽  
Author(s):  
◽  
Rui Qiao
Keyword(s):  
Market Efficiency ◽  
Market Uncertainty ◽  
Macroeconomic News ◽  
Treasury Securities ◽  
News Announcements ◽  
Belief Heterogeneity ◽  
Treasury Market ◽  
Order Books ◽  
The Impact ◽  
The U.S

<p>My thesis consists of three essays on market microstructure. Focusing on the U.S. Treasury market, I investigate several interesting research questions by using twelve years of BrokerTec order books of 2-, 5-, and 10-year on-the-run U.S. Treasury notes from January 1, 2004 to December 31, 2015, and five years of BrokerTec order books of 3-, 7- and 30-year on-the-run U.S. Treasury securities from January 1, 2011 to December 31, 2015. In the U.S. Treasury market, BrokerTec is one of the two dominant electronic communication networks (ECNs). According to my calculations by using BrokerTec order books from 2011 to 2015, the average daily trading volume of BrokerTec on-the-run U.S. Treasury securities is about 134.9 billion U.S. dollars, which accounts for about 26% of that of the total U.S. Treasury primary dealer activity. To help a wider audience better understand the importance of the research questions in the following three chapters, Chapter 1 gives a brief introduction to the U.S. Treasury market.  In Chapter 2, I investigate the impact of scheduled macroeconomic news announcements on the U.S. Treasury market efficiency. To control the microstructure noise, I employ a robust method to construct market inefficiency measures. I find that the U.S. Treasury market becomes less efficient starting from five minutes before news arrivals. The finding is robust for different sample periods, macroeconomic news announcements, and market inefficiency measures. Investor heterogeneity could explain the decreased market efficiency before scheduled news announcements.  In Chapter 3, I investigate the impact of workup trading protocols on the U.S. Treasury market quality. Each transaction on the lit pool opens a workup window, during which the BrokerTec trading platform continues to receive order submissions and modifications, but only matches workup orders that have the same prices. Each workup transaction starts a new counting down of the workup clock. A workup window naturally closes either after the workup times out or when a limit order is submitted at a better price. I find that the workup trading activities decrease the market quality, in aspects of market efficiency and market liquidity.  In Chapter 4, I empirically examine the role of heterogeneity in traders’ beliefs and public information shocks on traders’ order submission decisions around news announcements in the U.S. Treasury market. I find that during both the pre-announcement period and the post-announcement period, the traders tend to submit more market orders and aggressive limit orders when the market uncertainty is high. I also find that the belief heterogeneity influences investors’ trading behavior and order submission strategies around news announcements. The role of the belief heterogeneity on order aggressiveness depends on the type of news, and the magnitude of the information shocks. The impact of market uncertainty and belief heterogeneity influences traders’ submission of both of the market orders and aggressive limit orders.  In Chapter 5, I provide a summary on the research findings in Chapter 2, Chapter 3 and Chapter 4. I also discuss the contributions of this thesis to the literature.</p>

scholarly journals Stock Market Mispricing: Money Illusion or Resale Option?

2009 ◽  
Vol 44 (5) ◽  
pp. 1125-1147 ◽  
Author(s):  
Carl R. Chen ◽  
Peter P. Lung ◽  
F. Albert Wang
Keyword(s):  
Asset Price ◽  
Heterogeneous Beliefs ◽  
High Price ◽  
Asset Price Bubbles ◽  
Short Sale Constraints ◽  
Short Sale ◽  
Price Bubbles ◽  
Money Illusion ◽  
Stock Mispricing ◽  
The U.S

AbstractWe examine two hypotheses to explain stock mispricing: i) the money illusion hypothesis (Modigliani and Cohn (1979)) and ii) the resale option hypothesis (Scheinkman and Xiong (2003)). We find that the money illusion hypothesis may explain the level, but not the volatility, of mispricing in the U.S. market. In contrast, the stock resale option hypothesis, which stems from heterogeneous beliefs about future dividend growth rates and short-sale constraints, can explain both the level and the volatility of mispricing. The evidence suggests that while the two hypotheses complement each other in explaining the level of mispricing, the resale option hypothesis provides a more coherent explanation for asset price bubbles, in which extraordinarily high price levels are often accompanied by excessive volatility and frenzied trading.

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