|
on Market Microstructure |
| By: | Alain P. Chaboud; Michael J. Fleming; Ellen Correia Golay; Yesol Huh; Frank M. Keane; Or Shachar |
| Abstract: | In this article, we study trading activity and liquidity of off-the-run U.S. Treasury securities. Off-the-run Treasuries are seasoned securities, account for about 98 percent of all Treasuries outstanding, and played a central role in the pandemic-fueled dash-for-cash in March 2020. Understanding these securities better can improve thinking around how market resilience might be improved. We document and discuss the evolution of trading activity and liquidity for these securities and how these attributes differ from on-the-run securities. We also consider several potential market structure changes that could improve the liquidity of off-the-run Treasuries, including debt buybacks, expanded central clearing, and increased data transparency. |
| Keywords: | Treasury market; market structure; off-the-run; liquidity; trading |
| JEL: | G12 G18 G20 |
| Date: | 2025–11–01 |
| URL: | https://d.repec.org/n?u=RePEc:fip:fednsr:102080 |
| By: | Michael J. Fleming |
| Abstract: | In 2025, the Federal Reserve has cut interest rates, trade policy has shifted abruptly, and economic policy uncertainty has increased. How have these developments affected the functioning of the key U.S. Treasury securities market? In this post, we return to some familiar metrics to assess the recent behavior of Treasury market liquidity. We find that liquidity briefly worsened around the April 2025 tariff announcements but that its relation to Treasury volatility has been similar to what it was in the past. |
| Keywords: | Treasury market; liquidity; volatility; tariffs |
| JEL: | G12 G14 |
| Date: | 2025–11–12 |
| URL: | https://d.repec.org/n?u=RePEc:fip:fednls:102093 |
| By: | Chengqi Zang; Gabriel P. Andrade; O\u{g}uzhan Ersoy |
| Abstract: | We study decentralized markets for goods whose utility perishes in time, with compute as a primary motivation. Recent advances in reproducible and verifiable execution allow jobs to pause, verify, and resume across heterogeneous hardware, which allow us to treat compute as time indexed capacity rather than bespoke bundles. We design an automated market maker (AMM) that posts an hourly price as a concave function of load--the ratio of current demand to a "floor supply" (providers willing to work at a preset floor). This mechanism decouples price discovery from allocation and yields transparent, low latency trading. We establish existence and uniqueness of equilibrium quotes and give conditions under which the equilibrium is admissible (i.e. active supply weakly exceeds demand). To align incentives, we pair a premium sharing pool (base cost plus a pro rata share of contemporaneous surplus) with a Cheapest Feasible Matching (CFM) rule; under mild assumptions, providers optimally stake early and fully while truthfully report costs. Despite being simple and computationally efficient, we show that CFM attains bounded worst case regret relative to an optimal benchmark. |
| Date: | 2025–11 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2511.16357 |