Ingrid Lo - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T20:29:14+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 2014GG1G10G12G14Belief Dispersion and Order Submission Strategies in the Foreign Exchange Market
https://www.bankofcanada.ca/2011/03/working-paper-2011-8/
This paper empirically examines how dispersions across investors beliefs influence traders order submission decisions in the foreign exchange market. Previous research has found that dispersion in traders beliefs regarding future macroeconomic announcements has a significant impact on both price dynamics and trading volume before the announcements in the foreign exchange and other financial markets.2011-03-03T08:48:43+00:00enBelief Dispersion and Order Submission Strategies in the Foreign Exchange Market2011-03-03Exchange ratesMarket structure and pricingWorking Paper 2011-8https://www.bankofcanada.ca/wp-content/uploads/2011/03/wp11-8.pdfBelief Dispersion and Order Submission Strategies in the Foreign Exchange MarketIngrid LoStephen SappMarch 2011DD4GG1Private 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 2008GG1G12G14Price Formation and Liquidity Provision in the Markets for European and Canadian Government Securities
https://www.bankofcanada.ca/wp-content/uploads/2012/01/fsr-0607-dsouza.pdf
2007-06-24T14:44:02+00:00enPrice Formation and Liquidity Provision in the Markets for European and Canadian Government Securities2007-06-24Price Formation and Liquidity Provision in Short-Term Fixed Income Markets
https://www.bankofcanada.ca/2007/04/working-paper-2007-27/
Differences in market structures may affect the manner in which fundamental information is incorporated into prices. High levels of quote and trade transparency plus substantial quoting obligations in European government securities markets ensure that prices are informationally efficient.2007-04-03T12:34:23+00:00enPrice Formation and Liquidity Provision in Short-Term Fixed Income Markets2007-04-03Financial marketsInterest ratesMarket structure and pricingWorking Paper 2007-27 https://www.bankofcanada.ca/wp-content/uploads/2010/03/wp07-27.pdfPrice Formation and Liquidity Provision in Short-Term Fixed Income MarketsChris D'SouzaIngrid LoStephen SappApril 2007GG1G12G14G15Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?
https://www.bankofcanada.ca/2007/03/working-paper-2007-23/
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 these decisions in the foreign exchange market using a unique simultaneous equations model.2007-03-10T11:27:54+00:00enOrder Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?2007-03-10Exchange ratesFinancial marketsWorking Paper 2007-23 https://www.bankofcanada.ca/wp-content/uploads/2010/03/wp07-23.pdfOrder Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?Ingrid LoStephen SappMarch 2007GG1G14A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market
https://www.bankofcanada.ca/2006/03/working-paper-2006-8/
Traders using the electronic limit order book in the foreign exchange market can watch the posted price and depth of the best quotes change over the day.2006-03-06T12:54:32+00:00enA Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market2006-03-06Exchange ratesFinancial marketsWorking Paper 2006-8 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-8.pdfA Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order MarketIngrid LoStephen SappMarch 2006CC3DD8FF3F31An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate
https://www.bankofcanada.ca/2005/12/working-paper-2005-45/
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 the nonlinear continuous-time short-term interest rate.2005-12-03T11:37:34+00:00enAn Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate2005-12-03Econometric and statistical methodsInterest ratesWorking Paper 2005-45 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp05-45.pdfAn Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest RateIngrid LoDecember 2005CC1EE4Order Submission: The Choice between Limit and Market Orders
https://www.bankofcanada.ca/2005/12/working-paper-2005-42/
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.2005-12-02T16:00:57+00:00enOrder Submission: The Choice between Limit and Market Orders2005-12-02Exchange ratesFinancial institutionsMarket structure and pricingWorking Paper 2005-42 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp05-42.pdfOrder Submission: The Choice between Limit and Market OrdersIngrid LoStephen SappDecember 2005DD4GG1