CME Rates Futures: End Of Month (EOM) Volume Profiles

The volume profiles of CME rates futures on month-ends are significantly different than on other days.

QB’s volume forecast model accommodates month-end seasonality in CME futures, which improves model performance across the entire QB Algo Suite.

In previous papers, we have written about the month-end and Russell rebalancing volume modeling. We follow the same approach in this paper and present a summarized version of the model below.

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