This paper empirically examines how dispersions across investors beliefs influence traders order submission decisions in the foreign exchange market. Previous research ha[...]

The author compares the performance of three Gaussian approximation methods—by Nowman (1997), Shoji and Ozaki (1998), and Yu and Phillips (2001)—in estimating a model of [...]

This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i- Cro[...]

We examine large price changes, known as jumps, in the U.S. Treasury market. Using recently developed statistical tools, we identify price jumps in the 2-, 3-, 5-, 10-yea[...]

In this paper, we identify jumps in U.S. Treasury-bond (T-bond) prices and investigate what causes such unexpected large price changes. In particular, we examine the rela[...]

Dealers trading in a limit order market must choose both the order aggressiveness and the quantity for their orders. Since little research has considered how dealers make[...]

Dealers trading in a limit order market must choose both the order aggressiveness and the quantity for their orders. We empirically investigate how dealers jointly make t[...]

Most financial markets allow investors to submit both limit and market orders, but it is not always clear what affects the choice of order type. The authors empirically i[...]

Differences in market structures may affect the manner in which fundamental information is incorporated into prices. High levels of quote and trade transparency plus subs[...]

Using intraday data, we identify the intensity of private information flow in the U.S. Treasury market. Our results show that the intensity of private information flow is[...]