Statistical analysis of fixed income market
AbstractWe present cross and time series analysis of price fluctuations in the US Treasury fixed income market. Bonds have been classified according to a suitable metric based on the correlation among them. The classification shows how the correlation among fixed income securities depends strongly on their maturity. We study also the structure of price fluctuations for single time series.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 308 (2002)
Issue (Month): 1 ()
Contact details of provider:
Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/
Fixed income; Clustering; Scaling;
Other versions of this item:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- D49 - Microeconomics - - Market Structure and Pricing - - - Other
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Hawkins, Raymond & Aoki, Masanao, 2008.
"Macroeconomic Relaxation: Adjustment Processes of Hierarchical Economic Structures,"
Economics Discussion Papers
2008-35, Kiel Institute for the World Economy.
- Aoki, Masanao & Hawkins, Raymond, 2009. "Macroeconomic Relaxation: Adjustment Processes of Hierarchical Economic Structures," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 3(17), pages 1-21.
- Luca Grilli & Angelo Sfrecola, 2009.
"A Neural Networks approach to Minority Game,"
lg_nca_2009, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.