Fleming, Michael J.
and Remolona, Eli M. "Price Formation and Liquidity in the U.S. Treasuries Market : Evidence from Intraday Patterns around Announcements, Research Paper no. 9633,"
Research Papers (Federal Reserve Bank of New York)
(October 1996).
https://fraser.stlouisfed.org/title/6570/item/615548, accessed on November 8, 2025.