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Statistical characterisation of Fixed Income market efficiency

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  • Massimo Bernaschi
  • Luca Grilli

    ()

  • Livio Marangio
  • Sauro Succi
  • Davide Vergni

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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Bibliographic Info

Paper provided by Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia in its series Quaderni DSEMS with number qiac03-2000.

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Length: 10 pages
Date of creation: May 2000
Date of revision:
Handle: RePEc:ufg:qdsems:qiac03-2000

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Keywords: Fixed income; clustering;

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