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|
|Contact details of provider:|| Postal: Largo Papa Giovanni Paolo II, 1 -71100- Foggia (I)|
Web page: http://www.dsems.unifg.it
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- R. Mantegna, 1999.
"Hierarchical structure in financial markets,"
The European Physical Journal B: Condensed Matter and Complex Systems,
Springer;EDP Sciences, vol. 11(1), pages 193-197, September.
- R. Mantegna, 1999. "Hierarchical structure in financial markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 11(1), pages 193-197, September.
- Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
- 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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