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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| Format: | Article |
| Language: | Portuguese |
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Universidade de São Paulo
2016-09-01
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| Series: | Economia Aplicada |
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| Online Access: | http://www.revistas.usp.br/ecoa/article/view/124393 |