NY Fed differential cross market

New York Fed Observes Cross Market Treasury Trading During Crisis, Eyes HFT

It seems almost ancient history to recall Chicago derivatives traders sitting at a desk above a less significant trading floor playing a daily game of spread-arbitrage along the yield curve with the cash markets in New York. Now in the span of time it takes a human to point and click on a computer a high frequency trading algorithm could have bought and sold the same strategy 100 times over.

New York . . .


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