New York Fed Observes Cross Market Treasury Trading During Crisis, Eyes HFT – ValueWalk Premium
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 Fed . . .

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