Statistical characterisation of Fixed Income market efficiency
AbstractWe 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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Bibliographic InfoPaper provided by Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia in its series Quaderni DSEMS with number qiac03-2000.
Length: 10 pages
Date of creation: May 2000
Date of revision:
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More information through EDIRC
Fixed income; clustering;
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