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Are all highly liquid securities within the same class?

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  • Silvio M. Duarte Queiros

Abstract

In this manuscript we analyse the leading statistical properties of fluctuations of (log) 3-month US Treasury bill quotation in the secondary market, namely: probability density function, autocorrelation, absolute values autocorrelation, and absolute values persistency. We verify that this financial instrument, in spite of its high liquidity, shows very peculiar properties. Particularly, we verify that log-fluctuations belong to the Levy class of stochastic variables.

Suggested Citation

  • Silvio M. Duarte Queiros, 2007. "Are all highly liquid securities within the same class?," Papers 0706.1247, arXiv.org, revised Nov 2007.
    • Handle: RePEc:arx:papers:0706.1247
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    File URL: http://arxiv.org/pdf/0706.1247
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