Statistical analysis of fixed income market
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.
|Date of creation:||May 2002|
|Date of revision:|
|Publication status:||Published in Physica A: Statistical Mechanics and its Applications, Pages: 381-390 Volume: 308, Issue: 1-4, May 2002|
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