Most financial markets allow investors to submit both limit and market orders but it is not always clear why agents choose one over the other. In this study we empirically investigate how several microstructure factors influence the choice and timing of submitting either limit or market orders...

This study provides a comprehensive analysis of the effects of Computer-based Trad-ing (CBT) on Treasury bond expected returns. We document a strong relationship between bond expected returns and the overall intensity at which CBT takes place in the Treasury market. Investing in bonds with the...

This paper investigates high-frequency (HF) trading in the U.S. Treasury market around macroeconomic news announcements. After identifying HF market and limit orders based on the speed of their placement alteration and cancellation deemed beyond manual ability, we use the introduction of the...