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Brownian motion in the treasury bill futures market


  • Dale, Charles


This paper analyzes prices and volumes in the T-bill futures market using a physical analogy called Brownian Motion. The results are similar to those obtained in previous studies of stock markets. For prices, the T-bill futures market failed to exhibit the presence of resistance and support levels, indicating that chartists could not profit by looking for such levels. For low volumes, T-bill futures exhibited lognormal behavior patterns, meaning that new investors are attracted to markets in proportion to the volume already present. This means that for financial futures, the first exchange to establish a new type of futures contract is the one most likely to be successful, since its competitors will have a difficult time competing with an established high level of trading volume.

Suggested Citation

  • Dale, Charles, 1981. "Brownian motion in the treasury bill futures market," MPRA Paper 46530, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:46530

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    References listed on IDEAS

    1. Vignola, Anthony & Dale, Charles, 1980. "The Efficiency of the Treasury Bill Futures Market: An Analysis of Alternative Specifications," MPRA Paper 48812, University Library of Munich, Germany.
    2. Ederington, Louis H, 1979. "The Hedging Performance of the New Futures Markets," Journal of Finance, American Finance Association, vol. 34(1), pages 157-170, March.
    3. F. W. Taussig, 1921. "Is Market Price Determinate?," The Quarterly Journal of Economics, Oxford University Press, vol. 35(3), pages 394-411.
    4. Vignola, Anthony & Dale, Charles, 1979. "Is the Futures Market for Treasury Bills Efficient?," MPRA Paper 48762, University Library of Munich, Germany.
    5. Dale, Charles & Workman, Rosemarie, 1980. "The arc sine law and the treasury bill futures market," MPRA Paper 46101, University Library of Munich, Germany.
    6. Capozza, Dennis R & Cornell, Bradford, 1979. "Treasury Bill Pricing in the Spot and Futures Markets," The Review of Economics and Statistics, MIT Press, vol. 61(4), pages 513-520, November.
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    Cited by:

    1. Charles Dale, 1981. "The hedging effectiveness of currency futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 1(1), pages 77-88, March.
    2. Vignola, Anthony & Dale, Charles & Federal Reserve System, Federal Reserve Staffs, 1979. "Treasury/Federal Reserve Study of Treasury Futures Markets Volume II: A Study by the Staffs of the U.S. Treasury and Federal Reserve System," MPRA Paper 58897, University Library of Munich, Germany.
    3. Dale, Charles & Workman, Rosemarie, 1981. "Measuring patterns of price movements in the Treasury bill futures market," MPRA Paper 48639, University Library of Munich, Germany.
    4. Dale, Charles & Workman, Rosemarie, 1980. "The arc sine law and the treasury bill futures market," MPRA Paper 46101, University Library of Munich, Germany.
    5. Grossman, Sanford J & Miller, Merton H & Cone, Kenneth R & Fischel, Daniel R & Ross, David J, 1997. "Clustering and Competition in Asset Markets," Journal of Law and Economics, University of Chicago Press, vol. 40(1), pages 23-60, April.

    More about this item


    Brownian motion; Treasury bills; Futures markets;

    JEL classification:

    • C0 - Mathematical and Quantitative Methods - - General
    • G1 - Financial Economics - - General Financial Markets


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