The Collaborative Market Data Network -
serving the Public interest of Transparency in Debt Capital Markets
The Collaborative Market Data Network
Serving Transparency in Capital Markets
The Collaborative
Market Data Network

MEASURING TREASURY MARKET DEPTH

Post Date: 14 February 2024

A commonly used measure of market liquidity is market depth, which refers to the quantity of securities market participants are willing to buy or sell at particular prices. There are many measurement decisions that go into depth calculations and show that inferences about the evolution of U.S. Treasury market depth, and hence liquidity, are largely invariant with respect to these decisions.


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