Intraday trading in the overnight federal funds market

Bartolini, Leonardo; Gudell, Svenja; Hilton, R. Spence; Schwarz, Krista B.

Journal Article

Intraday trading in the overnight federal funds market

Abstract: Transaction-level data for the federal funds market provide a rare look at the intraday behavior of trade volume and prices. An analysis of the data reveals that trade volume exhibits large swings over the course of the day while prices remain fairly stable, with rate volatility rising sharply only in the late afternoon. The analysis underscores the important role played by institutional deadlines-most notably, the close of trading-in driving movements in this market.

Keywords: Federal funds market (United States);