Скачать или смотреть Example of Flow Toxicity in Treasuries

Treasuries fell on February 2nd 2011, pushing the 10-year note yield to the highest in nine months, after the U.S. unemployment rate unexpectedly dropped to the lowest level since April 2009, fueling speculation the labor market would improve. U.S. 30-year bond yields also reached a nine-month high as Labor Department data showed the jobless rate fell to 9 percent. Another report showed gains in service industries. The Federal Reserve bought $7.27 billion of Treasuries, less than average, as part of a stimulus program. Consequently, this video shows that order flow toxicity levels reached the 0.9 CDF(VPIN) threshold at 12.42pm, and then remained at elevated values until February 7th 2011 at 8.30am. During that period, T-Notes lost over 1.2% in value.

Presented by Marcos Lopez de Prado during the QUANT CONGRESS USA, July 12-14th 2011, New York.

For additional information, visit:

http://www.quantcongressusa.com/speakers
http://ssrn.com/abstract=1695041
http://ssrn.com/abstract=1695596
http://ssrn.com/abstract=1748633