Group 1 - The core CPI data released by the U.S. Bureau of Labor Statistics significantly impacts the foreign exchange market, causing dramatic fluctuations in the dollar index [1][3] - In June 2023, the core CPI increased by 4.8% year-on-year, exceeding expectations, which led to a 1.2% rise in the dollar index within 90 seconds [1][3] - The market quickly recalibrates interest rate expectations using the "Taylor Rule," where a 0.1% increase in core CPI raises the implied probability of rate hikes by an average of 8 percentage points [3] Group 2 - Algorithmic trading systems rapidly reassess the positions of Federal Reserve officials based on CPI data, leading to significant market movements, such as a 15 basis point rise in two-year Treasury yields within 20 minutes following a CPI release [3] - The "interest rate differential arbitrage unwinding spiral" is triggered by CPI data, which strengthens rate hike expectations and increases the actual yield on dollar assets, prompting institutional investors to shift from negative-yielding eurozone bonds [3][4] - On the day of CPI announcements, there is a positive correlation of 0.7 between the deviation of the data and the inflow of funds into dollar money market funds [3] Group 3 - High-frequency trading algorithms initiate preset strategies immediately after CPI data is released, resulting in a trading volume for dollar futures that is 18 times the daily average within the first 50 milliseconds [4] - The liquidity supply from market makers shows significant asymmetry, with the bid-ask spread for euro-dollar widening 2.3 times more when data exceeds expectations compared to when it falls short [4] Group 4 - Doo Financial recommends investors to develop a three-dimensional analytical framework that includes inflation expectation disaggregation, interest rate sensitivity testing, and volatility transmission monitoring [5] - Historical data indicates that adjusting dollar exposure to a delta-neutral position 20 minutes before CPI announcements can reduce net value drawdowns by 42% during extreme volatility [5] - The macro event analysis model has identified a 73% certainty in the mid-term trend of the dollar index when core goods inflation diverges from housing inflation, validated across six CPI events from 2022 to June 2023 [5]