The following research papers were discussed at the third annual MTS Conference on Financial Markets. To view the paper, please click on the document.
These papers are protected by copyright and other intellectual property laws. All rights are reserved by their respective authors.
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Does Algorithmic Trading Improve Liquidity?
Authors: Terry Hendershott and Charles M. Jones
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The On-The-Run Liquidity Phenomenon
Authors: Paolo Pasquariello and Clara Vega
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Click to open document The Microstructure of a U.S. Treasury ECN: The BrokerTec Platform
Authors: Bruce Mizrach and Michael J. Fleming |
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Bond Pricing, Habits, and a Simple Policy Rule
Author: Michael Gallmeyer, Burton Hollifeld, Francisco Palomino and Stanley Zin
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Competition between Exchanges: Lessons from the Battle of the Bund
Authors: Estelle Cantillon and Pai-Ling Yin |
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Corporate Bond Market Transparency: Liquidity Concentration, Informational Efficiency and Competition
Authors: Amy Edwards and Mahendrarajah Nimalendran
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Liquidity and Liquidity Risk Premia in the CDS Market
Author: Dion Bongaerts, Frank De Jong and Joost Driessen
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Loss Given Default Implied by Coss-Sectional No Arbitrage
Authors: Jeong Song
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Click to open document Total Return and Credit Spread Diversification in the International Bond Portfolios
Authors: Simone Varotto
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