Abstract
This paper concerns the measurement of microstructural characteristics of the Irish Gilt Market in both an ‘agency’ regime and a market making regime. A time-series method is developed which, when applied to a market-making system, reveals the effective spread, the information content of trade type, partial adjustment to trade communicated information and trade-type dependence. When applied to the agent-only case, it measures the expected cost of immediacy emanating from an implicit spread and reveals serial dependence in trades at a discount/premium. A surprising aspect of the empirical results is their similarity for the pre- and post-market-making periods.
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