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Statistical analysis of fixed income market

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Author Info

  • Massimo Bernaschi
  • Luca Grilli

    ()

  • Davide Vergni

Abstract

We present cross and time series analysis of price fluctuations in the U.S. 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.

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File URL: http://dx.doi.org/10.1016/S0378-4371(02)00590-3
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Bibliographic Info

Paper provided by Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia in its series Quaderni DSEMS with number lg_physa_2002.

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Date of creation: May 2002
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Publication status: Published in Physica A: Statistical Mechanics and its Applications, Pages: 381-390 Volume: 308, Issue: 1-4, May 2002
Handle: RePEc:ufg:qdsems:lg_physa_2002

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Postal: Largo Papa Giovanni Paolo II, 1 -71100- Foggia (I)
Phone: +390881753722
Fax: +390881775616
Web page: http://www.dsems.unifg.it
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Keywords: Fixed income; clustering; scaling;

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Cited by:
  1. Luca Grilli & Angelo Sfrecola, 2005. "A Neural Networks approach to Minority Game," Quaderni DSEMS 13-2005, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.

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