https://ohlcv.io/tags/zf/Quant trading research and writingHugoen-auFri, 30 Oct 2026 01:03:13 +1100https://ohlcv.io/posts/treasury-auction-cycle/Thu, 22 Oct 2026 00:00:00 +1100https://ohlcv.io/posts/treasury-auction-cycle/Lou, Yan, and Zhang found that Treasuries cheapen in the days before an auction and recover after it. In Treasury futures from 2010 to 2026, the daily gaps around the late-month auctions line up with the month-end rally, and a trade on the month-end calendar alone did better. Intraday, the futures still move by about half a basis point of yield around the close of bidding, but no intraday trade we tested shows a reliable profit after a tick of cost per round trip.