Speaker：Dr. Rui Qiao

　　Presentation Topic：Workup and Market Quality: Evidence from the U.S. Treasury market 

　　Schedule：Nov 11,2020 (Wed) 12:00-13:00

　　Location：Cheng Ming Rm 317

　　

　　Abstract：This paper investigates the impact of workup trading protocols on the U.S. Treasury market quality. Each transaction on the lit pool opens a workup window, during which the BrokerTec trading platform continues to receive order submissions and modifications, but only matches workup orders that have the same prices. Each workup transaction starts a new counting down of the workup clock. A workup window naturally closes either after the workup times out or when a limit order is submitted at a better price. We find that the workup trading activities decrease the market quality, in aspects of market efficiency and market liquidity.

题目：后处理与市场质量：来自美国国债市场的证据

摘要：本文研究后处理交易协议对美国国债市场质量的影响。池内的每笔交易都会打开一个处理窗口，在此期间，BrokerTec 交易平台继续接收订单提交和修改，但只匹配具有相同价格的处理订单。每个后处理事务开始一个新的后处理时钟倒计时。在处理超时或以更好的价格提交限价单时，处理窗口自然会关闭。我们发现后处理交易活动在市场效率和市场流动性方面降低了市场质量。