WP47 — The Yield Curve at One-Minute Resolution
Working title: The Yield Curve at One-Minute Resolution: Nelson–Siegel Factor-Mimicking Portfolios from Treasury Futures
Author (paper): Guillaume Manseau (Université Laval) — no working-paper number · Project ID: wp47_uqo · Repo: gitsrv:srv/git/wp47_uqo.git · Status: pipeline
complete, paper in preparation (2026-11-09).
Question. What do the three Nelson–Siegel factors (level, slope, curvature) look like minute by minute over the 23-hour CME session, 2008–2026, and how much of the daily curve variation can Treasury futures reproduce?
Data. FinData OS (FirstRate Data, private licence): 1-minute Treasury futures ZT, ZF, ZN, TN, US, UB (plus SR3 and five
Treasury ETFs for robustness); public: FRED constant-maturity yields, Fed GSW curve, FOMC and BLS/ALFRED release calendars
(data/external/, downloaded 2026-11-09).
Construction. Daily NS factors (λ = 0.7308) from 11 CMT maturities → rolling quarterly OLS of daily factor changes on daily futures returns (3-year window, strictly out of sample) → weights applied to one-minute returns → minute-level factor changes, realized (co)variances, event windows, HAR forecasts. Validation: OOS daily fidelity, cash-yield ceiling, leave-one-contract-out spanning, an independent ETF construction, tick-noise benchmark.
Hypotheses (pre-registered in docs/DESIGN.md, tag design-frozen). H1 fidelity · H2 announcement anatomy (FOMC, CPI,
Employment) · H3 intraday periodicity · H4 realized factor correlations · H5 HAR vs daily benchmarks. Outcomes: see paper and
results/metrics/.
Review step. A referee-style review of the frozen design (docs/DESIGN_REVIEW.md) was produced before the event study;
docs/DESIGN_RESPONSE.md answers it point by point and docs/CHANGELOG-DESIGN.md lists every deviation and when it was decided.
Layout. src/wp47/ library · scripts/ pipeline (order in docs/REPLICATION.md) · data/external/ public inputs ·
data/cache/ node-only Parquet (git-ignored) · results/metrics/ aggregates · results/figdata/ figure inputs · paper/ LaTeX
(Recherche-UQO template, verified references.bib) · docs/ brief, design, review, response, changelog, replication, data
dictionary, methodology decisions.
Run. Computation on M3U96a ~/wp47_uqo (see docs/REPLICATION.md); LaTeX on the laptop (cd paper && latexmk).
Licence. No raw or derived minute bars leave the node or enter git; only aggregates are published.