Recent Adjustments To Cash Treasury Volume Forecasts

Volume forecasts are the core of any schedule-based algorithm, such as QB’s  STROBE and CLOSER algorithms. We have addressed the model’s accuracy in several research papers, but we need to make periodic adjustments to suit the changes in market structure. One such change relates to the Cash Treasury volume profiles around the 4:00 p.m. benchmark timing. Bloomberg Barclays US Aggregate Bond Index benchmark time was moved from 3 p.m to 4 p.m on January 14𝑡ℎ, 2021. The change impacted not only the magnitude traded around 4 p.m. but also the overall shape of the volume. Download the whitepaper to read more. 

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