This study investigates the impact of HFT on the intraday speed of adjustment and price discovery following scheduled macroeconomic announcements for interest rate derivatives. Our results demonstrate that the speed of adjustment to new information has been improved for both interest rate...

This study examines the impact of algorithmic trading (AT) on the speed of adjustment and price discovery during scheduled macroeconomic announcements for interest rate derivatives. In February 2012, the Australian Securities Exchange (ASX) introduced co-location services for futures traders....

This paper examines the dynamics of quoted bid-ask spreads, price volatility and percentage trading volume for the most liquid interest rate futures trading on the Sydney Futures Exchange. Using data for both the overnight and intraday markets of the Sydney Futures Exchange, patterns contrast...