This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … normal levels. We investigate how the risks in convergence trading can affect price volatility in a form of positive feedback … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility …

high frequency. The model yields predictions on biweekly patterns of the federal funds rate's volatility and on its … results are consistent with empirical patterns of interest rate volatility in the U.S. market for federal funds …

-ask spreads and depth), returns, volatility, and order flow in the stock and bond markets. We find that a shock to quoted spreads …. Innovations to stock and bond market liquidity and volatility prove to be significantly correlated, suggesting that common factors … increases (decreases) in stock and bond volatility. Finally, we find that flows to the stock and government bond sectors play an …