... minimal The data set contains detailed information on each transaction in the sample period, i.e whether the transaction was a market borrow or market lend, the annual interest rate, quantity, and ... referred to as the crisis period 2.4 Information Available to Market Participants Information is at the heart of market microstructure analysis, see e.g Easley and O’Hara (1987), O’Hara (1994), and Lyons ... strategy Journal of Financial and Quantitative Analysis, 31(2):213–231 Hartmann, P., Manna, M., and Manzanares, A (2001) The microstructure of the euro money market Journal Money Credit and Banking,...