What Do Quoted Spreads Tell Us About Machine Trading at Times of Market Stress? Evidence from Treasury and FX Markets during the COVID-19-Related Market Turmoil in March 2020
Dobrislav Dobrev and Andrew Meldrum1 We highlight four main results from our analysis: Note: Bid-ask spread volatility is expressed as a multiple of tick size (minimum price increment). The tick size for the 5-year Treasury Note is 0.78125 cents per $100 of par…