George Jiang - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T09:24:35+00:00High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market
https://www.bankofcanada.ca/2014/12/working-paper-2014-56/
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.2014-12-12T11:10:12+00:00enHigh-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market2014-12-12Financial marketsWorking Paper 2014-56https://www.bankofcanada.ca/wp-content/uploads/2014/12/wp2014-56.pdfHigh-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury MarketGeorge JiangIngrid LoGiorgio ValenteDecember 2014GG1G10G12G14Private Information Flow and Price Discovery in the U.S. Treasury Market
https://www.bankofcanada.ca/2011/02/working-paper-2011-5/
Existing studies show that U.S. Treasury bond price changes are mainly driven by public information shocks, as manifested in macroeconomic news announcements and events. The literature also shows that heterogeneous private information contributes significantly to price discovery for U.S. Treasury securities.2011-02-17T08:11:31+00:00enPrivate Information Flow and Price Discovery in the U.S. Treasury Market2011-02-17Financial marketsMarket structure and pricingWorking Paper 2011-5https://www.bankofcanada.ca/wp-content/uploads/2011/02/wp11-5.pdfPrivate Information Flow and Price Discovery in the U.S. Treasury MarketGeorge JiangIngrid LoFebruary 2011GG1G12G14Information Shocks, Jumps, and Price Discovery - Evidence from the U.S. Treasury Market
https://www.bankofcanada.ca/2008/07/working-paper-2008-22/
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-year notes and 30-year bond during the period of 2005-2006.2008-07-08T09:50:08+00:00enInformation Shocks, Jumps, and Price Discovery - Evidence from the U.S. Treasury Market2008-07-08Financial marketsWorking Paper 2008-22https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp08-22.pdfInformation Shocks, Jumps, and Price Discovery – Evidence from the U.S. Treasury MarketGeorge JiangIngrid LoAdrien VerdelhanJuly 2008GG1G12G14