English
Iscriviti alla lista d'attesa
I libri... però non gratis
10 Strategier Som Slår BörsenSvenska10 Strategier Som Slår Börsen10 Strategies That Beat the MarketEnglish10 Strategies That Beat the MarketProRealTime Coding Made SimpleEnglishProRealTime Coding Made Simple
600+StatisticheStatistiche di mercato ed edge1,327StrategieLibreria di strategie testate18Paper di ricercaLo studio dietro gli algo301DocumentazioneRiferimento ProBuilder27Programma di sviluppo algoCorsi e lezioni24Tutto questo alimenta i 24 algoVedi gli algo

Statistiche › Intraday e microstruttura del mercato › Ciclo delle aste

Treasury prices fell into auctions and rose after them, until it stopped replicating

2-year note: 8.89+8.892-year note5-year note: 22.54+22.545-year note10-year note: 23.84+23.8410-year note

Return differential after minus before the auction, over five days, in basis points. t statistics 2.69, 3.67 and 1.78. January 1980 to June 2008. The two-year is highlighted because it is where the published strategy test was run and where the t statistic is cleanest relative to the size of the move.

Two-year note yields peaked on auction day and sat below that level both before and after. The round trip paid 8.62 basis points over ten days with a Sharpe of 1.08. A 2025 study finds no pre-auction trend at all.

8.62 bpTen-day strategy P&L on the two-year note, t = 3.65, Sharpe 1.08
1.46 bpEstimated round-trip transaction cost, about 35 bp a year
+49 bpEquity spillover: CRSP value-weighted over five days around two-year auctions
-1.04 bpWhat a 2025 study finds over three days, with no pre-auction trend

Solo per membri

Il resto di questa pagina è per i membri

Below this point there are 5 sections and 3 named sources, roughly 700 words of it. Every figure carries the source it came from and the date the data is from.

Puoi continuare a consultare gratuitamente ogni statistica della libreria. L'introduzione e il riepilogo sono sempre accessibili.