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November/December 2006, 
Vol. 88, No. 6
Posted 2006-11-01

The Transition to Electronic Communications Networks in the Secondary Treasury Market

by Bruce Mizrach and Christopher J. Neely

This article reviews the history of the recent shift to electronic trading in equity, foreign exchange, and fixed-income markets. The authors analyze a new data set: the eSpeed electronic Treasury network. They contrast the market microstructure of the eSpeed trading platform with the traditional voice-assisted networks that report through GovPX. The electronic market (eSpeed) has greater volume, smaller spreads, and a lower estimated trade impact than the voice market (GovPX).

Please contact the author with questions regarding the program files.