The Microstructure of Tesouro Direto: The Sazonality of the Order Flow and the Formation of Spreads

The objective of the study is to analyze the market microstructure of Tesouro Direto in two fronts: the dynamics of the order flow and the formation of the spreads. The results show a strong seasonality in the order flow of this market. This predictability can help the government to manage its debt...

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Bibliographic Details
Main Author:	Marcelo Perlin
Format:	Article
Language:	Portuguese
Published:	Universidade de São Paulo 2016-09-01
Series:	Economia Aplicada
Subjects:	Public debt tesouro direto market microstructure components of the spread
Online Access:	http://www.revistas.usp.br/ecoa/article/view/124393

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spelling	doaj-e74b5a65ccb847d9bbb186559c4e7da92020-11-25T03:44:36ZporUniversidade de São PauloEconomia Aplicada1413-80501980-53302016-09-0120310.11606/1413-8050/ea140191The Microstructure of Tesouro Direto: The Sazonality of the Order Flow and the Formation of SpreadsMarcelo PerlinThe objective of the study is to analyze the market microstructure of Tesouro Direto in two fronts: the dynamics of the order flow and the formation of the spreads. The results show a strong seasonality in the order flow of this market. This predictability can help the government to manage its debt inventory. The second point of analysis is the formation of the spreads. In the article we discuss the negative factors related to the current procedure and present a new methodology based on an adjustment modelhttp://www.revistas.usp.br/ecoa/article/view/124393Public debttesouro diretomarket microstructurecomponents of the spread
collection	DOAJ
language	Portuguese
format	Article
sources	DOAJ
author	Marcelo Perlin
spellingShingle	Marcelo Perlin The Microstructure of Tesouro Direto: The Sazonality of the Order Flow and the Formation of Spreads Economia Aplicada Public debt tesouro direto market microstructure components of the spread
author_facet	Marcelo Perlin
author_sort	Marcelo Perlin
title	The Microstructure of Tesouro Direto: The Sazonality of the Order Flow and the Formation of Spreads
title_short	The Microstructure of Tesouro Direto: The Sazonality of the Order Flow and the Formation of Spreads
title_full	The Microstructure of Tesouro Direto: The Sazonality of the Order Flow and the Formation of Spreads
title_fullStr	The Microstructure of Tesouro Direto: The Sazonality of the Order Flow and the Formation of Spreads
title_full_unstemmed	The Microstructure of Tesouro Direto: The Sazonality of the Order Flow and the Formation of Spreads
title_sort	microstructure of tesouro direto: the sazonality of the order flow and the formation of spreads
publisher	Universidade de São Paulo
series	Economia Aplicada
issn	1413-8050 1980-5330
publishDate	2016-09-01
description	The objective of the study is to analyze the market microstructure of Tesouro Direto in two fronts: the dynamics of the order flow and the formation of the spreads. The results show a strong seasonality in the order flow of this market. This predictability can help the government to manage its debt inventory. The second point of analysis is the formation of the spreads. In the article we discuss the negative factors related to the current procedure and present a new methodology based on an adjustment model
topic	Public debt tesouro direto market microstructure components of the spread
url	http://www.revistas.usp.br/ecoa/article/view/124393
work_keys_str_mv	AT marceloperlin themicrostructureoftesourodiretothesazonalityoftheorderflowandtheformationofspreads AT marceloperlin microstructureoftesourodiretothesazonalityoftheorderflowandtheformationofspreads
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The Microstructure of Tesouro Direto: The Sazonality of the Order Flow and the Formation of Spreads

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