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Statistical analysis of fixed income market

  • Bernaschi, Massimo
  • Grilli, Luca
  • Vergni, Davide

We present cross and time series analysis of price fluctuations in the US 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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Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

Volume (Year): 308 (2002)
Issue (Month): 1 ()
Pages: 381-390

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Handle: RePEc:eee:phsmap:v:308:y:2002:i:1:p:381-390
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