Ultra-short tenor yield curve for intraday trading and settlement

【Author】 Golub, Anton; Grossmass, Lidan; Poon, Ser-Huang

【Source】EUROPEAN JOURNAL OF FINANCE

【影响因子】1.903

【Abstract】Due to the increasing prevalence of high-frequency algorithmic trading and fintech developments like blockchain, there is a shift towards very short trading horizons and immediate settlement. This creates a demand for an ultra-short tenor interest rate curve that is updated in real-time. Our paper develops a practical market model for the equilibrium intraday interest rates which provides market makers adequate incentives to attenuate flash crashes. Our model suggests that the intraday CHF interest rates should have been highly negative during the flash crash of EURCHF on 15 January 2015, which could potentially stop the long CHF short EUR strategy and reduce the severity of the crash.

【Keywords】Intraday yield curve; flash crash; duration and time deformation

【发表时间】2019 24-Mar

【收录时间】2022-01-02

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