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Statistical analysis of fixed income market

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Author Info
Massimo Bernaschi
Luca Grilli ()
Davide Vergni

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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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Publisher 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: +390881753730
Fax: +390881775616
Web page: http://www.dsems.unifg.it
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Related research
Keywords: Fixed income; clustering; scaling;

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Find related papers by JEL classification:
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
D49 - Microeconomics - - Market Structure and Pricing - - - Other

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  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. [Downloadable!]
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