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Statistical characterization of the fixed income market efficiency

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Author Info
M. Bernaschi
L. Grilli
L. Marangio
S. Succi
D. Vergni

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Abstract

We present cross and time series analysis of price fluctuations in the U.S. Treasury fixed income market. By means of techniques borrowed from statistical physics we show that the correlation among bonds depends strongly on the maturity and bonds' price increments do not fulfill the random walk hyphoteses.

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File URL: http://arxiv.org/abs/cond-mat/0003025
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File URL: http://arxiv.org/pdf/cond-mat/0003025
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Paper provided by arXiv.org in its series Quantitative Finance Papers with number cond-mat/0003025.

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Date of creation: Mar 2000
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Handle: RePEc:arx:papers:cond-mat/0003025

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  1. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November. [Downloadable!] (restricted)
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