Statistical analysis of fixed income market
AbstractWe 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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Bibliographic InfoPaper provided by Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia in its series Quaderni DSEMS with number lg_physa_2002.
Date of creation: May 2002
Date of revision:
Publication status: Published in Physica A: Statistical Mechanics and its Applications, Pages: 381-390 Volume: 308, Issue: 1-4, May 2002
Fixed income; clustering; scaling;
Other versions of this item:
- Bernaschi, Massimo & Grilli, Luca & Vergni, Davide, 2002. "Statistical analysis of fixed income market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 308(1), pages 381-390.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-11-23 (All new papers)
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