Dobrislav Dobrev, Edith Liu, Joon Kim, and Marius RodriguezThis note provides a novel view on market functioning and argues for the importance of monitoring large directional order flow in understanding notable price...
Overview
FEDS Note: Order Flow Imbalances and Amplification of Price Movements: Evidence from U.S. Treasury Markets. Dobrislav Dobrev, Edith Liu, Joon Kim, and Marius RodriguezThis note provides a novel view on market functioning and argues for the importance of monitoring large directional order flow in understanding notable price moves during periods when liquidity is severely strained. Market turbulence often creates a liquidity mismatch: as volatility increases, liquidity demand surges while supply evaporates.
