#2007-052B "The Microstructure of the U.S. Treasury Market"
by Bruce Mizrach, and Christopher J. Neely
December 2007
Revised April 2008

This article discusses the microstructure of the U.S. Treasury securities market. Treasury securities are nominally riskless debt instruments issued by the U.S. government. More...

FORTHCOMING: Encyclopedia of Complexity and Systems Science

#2006-012B "The Transition to Electronic Communications Networks in the Secondary Treasury Market"
by Bruce Mizrach, and Christopher J. Neely
March 2006
Revised April 2006

This article reviews the history of the recent shift to electronic trading in equity, foreign exchange,
and fixed-income markets. More...

PUBLISHED: Federal Reserve Bank of St. Louis Review, November/December 2006, 88(6), pp. 527-542

#2005-070E "Information Shares in the U.S. Treasury Market"
by Bruce Mizrach, and Christopher J. Neely
November 2005
Revised October 2007

This paper characterizes the tatonnement of high-frequency returns from U.S. Treasury spot and futures markets. In particular, we highlight the previously neglected role of the futures markets in price discovery. More...

PUBLISHED: Journal of Banking and Finance, July 2008, 32(7), pp. 1221-33