Order Flow Imbalances and Amplification of Price Movements: Evidence from U.S. Treasury Markets

Dobrislav Dobrev, Joon Kim, Edith Liu and Marius Rodriguez
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Dobrislav Dobrev: https://www.federalreserve.gov/econres/dobrislav-dobrev.htm

No 2025-11-03, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: This 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.

Date: 2025-11-03
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:2025-11-03

DOI: 10.17016/2380-7172.3954

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