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Working paper
Retail Order Flow Segmentation
In: The journal of trading: JOT, Band 13, Heft 3, S. 13-23
ISSN: 1559-3967
High-Frequency Trading Competition
In: Journal of Financial and Quantitative Analysis, Band 54, Heft 4
SSRN
Working paper
The Queuing Friction in Limit Order Book Markets
In: Western Finance Association Paper 2022, EUROFIDAI-ESSEC Paris December Finance Meeting 2022
SSRN
Government of Canada fixed-income market ecology
This discussion paper is the third in the Financial Markets Department's series on the structure of Canadian financial markets. These papers are called "ecologies" because they study the interactions among market participants, infrastructures, regulations and the terms of the traded contract itself. In this ecology, we discuss the Government of Canada's domestic fixed-income market. We begin with an overview of Government of Canada securities and their characteristics. We then outline common market practices and the typical participants in the market. We provide high-level statistics on activity in the market and describe the market infrastructures that support trading. Finally, we discuss risks in these securities markets.
BASE
Alternative futures for Government of Canada debt management
In: Journal of financial economic policy, Band 12, Heft 4, S. 659-685
ISSN: 1757-6393
Purpose
This paper aims to present four blue-sky ideas for lowering the cost of the Government of Canada's debt without increasing the debt's risk profile.
Design/methodology/approach
The authors argue that each idea would improve the secondary-market liquidity of government debt, thereby increasing the demand for government bonds, and thus, lowering their cost at issuance.
Findings
The first two ideas would improve liquidity by enhancing the active management of the government's debt through market operations used to support the liquidity of outstanding bonds. The second two ideas would simplify the set of securities issued by the government, concentrating issuance in a smaller set of bonds that would each be more highly traded.
Originality/value
The authors discuss the ideas and give an account of the political, legal and operational impediments.
Alternative futures for government of Canada debt management
This paper presents four blue-sky ideas for lowering the cost of the Government of Canada's debt without increasing the debt's risk profile. We argue that each idea would improve the secondary-market liquidity of government debt, thereby increasing the demand for government bonds and thus lowering their cost at issuance. The first two ideas would improve liquidity by enhancing the active management of the government's debt through market operations used to support the liquidity of outstanding bonds. The second two ideas would simplify the set of securities issued by the government, concentrating issuance in a smaller set of bonds that would each be more highly traded. We discuss the ideas and give an account of the political, legal and operational impediments.
BASE