Bartolini, Leonardo; Gudell, Svenja; Hilton, Spence; … - In: Current Issues in Economics and Finance 11 (2005) Nov
Transaction-level data for the federal funds market provide a rare look at the intraday behavior of trade volume and prices. An analysis of the data reveals that trade volume exhibits large swings over the course of the day while prices remain fairly stable, with rate volatility rising sharply...