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Statistical analysis of fixed income market

  • Massimo Bernaschi
  • Luca Grilli

    ()

  • Davide Vergni

We present cross and time series analysis of price fluctuations in the U.S. 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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File URL: http://dx.doi.org/10.1016/S0378-4371(02)00590-3
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Paper provided by Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia in its series Quaderni DSEMS with number lg_physa_2002.

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Date of creation: May 2002
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Publication status: Published in Physica A: Statistical Mechanics and its Applications, Pages: 381-390 Volume: 308, Issue: 1-4, May 2002
Handle: RePEc:ufg:qdsems:lg_physa_2002
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  1. Rosario N. Mantegna, 1998. "Hierarchical Structure in Financial Markets," Papers cond-mat/9802256, arXiv.org.
  2. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
  3. J.-P. Bouchaud & M. Potters & M. Meyer, 2000. "Apparent multifractality in financial time series," The European Physical Journal B - Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 13(3), pages 595-599, 02.
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