EHow Do Treasury Dealers Manage Their Positions?/ Review on April buybackHow Do Treasury Dealers Manage Their Positions?Apr 25Apr 25
EFEW THINGS BETTER KNOW BEFORE BUYBACK 6 : TBAC Official ProposalTreasury Borrowing Advisory Committee Discussion Charts p.58–97, 2023Q1.Mar 27Mar 27
EFEW THINGS BETTER KNOW BEFORE BUYBACK 5: Revisiting Treasury BuybacksTreasury Borrowing Advisory Committee Discussion Charts p.67–91, 2022Q3.Mar 25Mar 25
EFEW THINGS BETTER KNOW BEFORE BUYBACK 4 : As a Tool of Debt Management生日倒數趕快來補即將上路美債回購計畫的坑,前情提要寫流動性應該差不多了,這集開始要來了解財政部的初衷和計劃設計的來龍去脈,繼2000年初執行過後,再正式提起就是2015年第一季的TBAC了…Mar 22Mar 22
EFEW THINGS BETTER KNOW BEFORE BUYBACK 3 : Dealer Capacity and UST Market FunctionalityDealer Capacity and U.S. Treasury Market FunctionalityMar 11Mar 11
EFEW THINGS BETTER KNOW BEFORE BUYBACK 2 : RMSE as treasury market liquidity measureHu, Grace Xing, Jun Pan, and Jiang Wang. “Noise as Information for Illiquidity.” The Journal of Finance 68, no. 6 (December 2013)…Mar 5Mar 5
EFEW THINGS BETTER KNOW BEFORE BUYBACK 1 : Measuring Treasury Market Depth by NY Fed其實猶豫了一陣子要不要翻這個,因為真的要算的話很多原始資料都只有BrokerTec才拿的到,一般商業銀行或是Buyside應該都拿不到,換言之就是沒有什麼實務可以自己處理的空間。但下一篇想開的新連載是四月即將試行上路的treasury buyback…Feb 29Feb 29
EDoes 0DTE Options Trading Increase Volatility? Paper summary in Mandarin二月居然還沒寫半篇,略顯心虛於是來翻譯一下收藏的0DTE論文XD 這其實真的蠻值得知道個大概的,特別是在居高思危的時候,這種Flow有時候真的就是顆不定時炸彈,不過知道也預測不了,頂多就是拿來唬罷了 ^^Feb 26Feb 26