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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Bibliographic Details

Published in:	Economia Aplicada
Main Author:	Marcelo Perlin
Format:	Article
Language:	Portuguese
Published:	Universidade de São Paulo 2016-09-01
Subjects:	Public debt tesouro direto market microstructure components of the spread
Online Access:	http://www.revistas.usp.br/ecoa/article/view/124393