RDP 2018-09: Identifying Repo Market Microstructure from Securities Transactions Data
Equation (1)
(
0
0
0
1
0
0
0
1
0
1
1
0
0
0
1
1
0
1
0
1
1
1
1
1
)
︷
0
/
1
m
a
t
r
i
x
(
−
25
−
30
80
)
︷
c
a
n
d
i
d
a
t
e
v
e
c
t
o
r
F
V
s
=
(
0
−
25
−
30
−
55
80
55
50
25
)
︷
s
u
b
s
e
t
s
u
m
s