Letter from George W. Campbell, esq., late Secretary of the Treasury, to the Chairman of the Committee appointed to inquire into the causes and particulars of the invasion of the City of Washington, and the neighboring town of Alexandria, in the month of August last. --

Laid before the House by the Chairman of the said Committee, and ordered to be printed January 2, 1815.

Profitable opportunities around macroeconomic announcements in the U.S. Treasury market

This thesis studies the impact of macroeconomic announcements on the U.S. Treasury market and investigates profitable opportunities around macroeconomic announcements using data from the eSpeed electronic trading platform. We investigate how macroeconomic announcements affect the return predictability of trade imbalance for the 2-year, 5-year, IO-year U.S. Treasury notes and 30-year U.S. Treasury bonds. The goal of this thesis is to develop a methodology to identify informed trades and estimate the trade imbalance based on informed trades. We use the daily order book slope as a proxy for dispersion of beliefs among investors. Regression results in this thesis indicate that, on announcement days with a high dispersion of beliefs, daily trade imbalance estimated by informed trades significantly predicts returns on the following day. In addition, we develop a trade-imbalance based trading strategy conditional on dispersion of beliefs, informed trades, and announcement days. The trading strategy yields significantly positive net returns for the 2-year T-notes.

Letter from George W. Campbell the Chairman of the Committee appointed to inquire into the causes and particulars of the invasion of the City of Washington

Full Title: Letter from George W. Campbell, esq., late Secretary of the Treasury, to the Chairman of the Committee appointed to inquire into the causes and particulars of the invasion of the City of Washington, and the neighboring town of Alexandria, in the month of August last Laid before the House by the Chairman of the said Committee, and ordered to be printed January 2, 1815. 13th Congress, 3rd Session. House. Doc. 38. Printed by Roger C. Weightman

Letter from Thomas Tudor Tucker, treasurer of the United States: transmitting his accounts for 1816, February 25, 1817

Bound with: Letter from the Secretary of the Treasury transmitting statements of the importations of goods, wares and merchandise... (60 p.).