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Discussion Paper

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


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.

https://doi.org/10.17016/2380-7172.3954

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File(s): File format is text/html https://www.federalreserve.gov/econres/notes/feds-notes/order-flow-imbalances-and-amplification-of-price-movements-evidence-from-u-s-treasury-markets-20251103.html

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Bibliographic Information

Provider: Board of Governors of the Federal Reserve System (U.S.)

Part of Series: FEDS Notes

Publication Date: 2025-11-03

Number: 2025-11-03