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• W168456722 abstract "This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i- Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and price efficiency." @default.
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• W168456722 date "2014-01-01" @default.
• W168456722 modified "2023-09-27" @default.
• W168456722 title "High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market" @default.
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• W168456722 hasPublicationYear "2014" @default.
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