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Statistical characterisation of Fixed Income market efficiency

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Author Info
Massimo Bernaschi
Luca Grilli ()
Livio Marangio
Sauro Succi
Davide Vergni

Additional information is available for the following registered author(s):

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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Publisher 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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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;

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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This page was last updated on 2009-12-9.

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