Modeling trade duration in U.S. Treasury markets
研究了美国国债市场交易持续时间的聚类现象，发现可交易量扩展（workup）显著缩短连续交易间隔，且预定新闻发布降低交易持续时间，但新闻意外程度影响不显著。
This paper models the trading intensity of the US Treasury bond market, which has a unique expandable limit order book that distinguishes it from other asset markets. The results indicate that trade duration exhibits signficant clusterng and that the time taken to expand the tradable volume, known as 'workup', significantly decreases the time betwen the initiaton of consecutive trades. Finally, we find that trade duration falls in the presence of scheduled news releases, but the size of the surprise in that news release is not found to be important.