Advanced Search
MyIDEAS: Login to save this paper or follow this series

Correlations in the Bond–Future Market


Author Info

  • Gianaurelio Cuniberti

    (MPI fuer Physik Komplexer Systeme, Dresden, Germany)

  • Marco Raberto

    (Universita' di Genova, Genova, Italy)

  • Enrico Scalas

    (Universita' del Piemonte Orientale, Alessandria, Italy)


We analyze the time series of overnight returns for the bund and btp futures exchanged at liffe (London). The overnight returns of both assets are mapped onto a one–dimensional symbolic–dynamics random walk: The “bond walk”. During the considered period (October 1991—January 1994) the bund–future market opened earlier than the btp–future one. The cross correlations between the two bond walks, as well as estimates of the conditional probability, show that they are not independent; however each walk can be modeled by means of a trinomial probability distribution. Monte Carlo simulations confirm that it is necessary to take into account the bivariate dependence in order to properly reproduce the statistical properties of the real–world data. Various investment strategies have been devised to exploit the “prior” information obtained by the aforementioned analysis.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL:
Download Restriction: no

Bibliographic Info

Paper provided by EconWPA in its series Finance with number 0411005.

as in new window
Length: 10 pages
Date of creation: 05 Nov 2004
Date of revision:
Handle: RePEc:wpa:wuwpfi:0411005

Note: Type of Document - pdf; pages: 10. Preprint pdf version of a paper published in Physica A, vol.269, no.1, p.90-7, 1 July 1999.
Contact details of provider:
Web page:

Related research

Keywords: Random walk; complex systems; financial markets;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:


No references listed on IDEAS
You can help add them by filling out this form.



This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


Access and download statistics


When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpfi:0411005. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.