3min chapter

Odd Lots cover image

JPMorgan's Josh Younger on Rate Derivatives and Volatility Ahead of the Election

Odd Lots

CHAPTER

Do You Have to Discontinue Volfefe?

The volfefe index attempted to quantify the impact of the amount of Trump's tweeting on the rates market. The data we use it was something like 30,000 tweets which is not a massive database and the language that Trump uses is pretty consistent because he doesn't use many words. We can very clearly like tag tweets is having moved or not moved markets. This is not like trying to teach a car how to self drive. This is like a very concrete question. Does this tweet affect markets. So we're just saying to the market move so it's easy to build a database of tweets and impact.

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