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Long-Term Fixed-Income Market Structure

Author

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  • Luca Grilli

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Abstract

Long Term Fixed Income Market securities present a strong positive correlation in daily returns. By using a metrical approach and considering "modified" time series, I show how it is possible to show a more complex structure which depends strictly on the maturity date.

Suggested Citation

  • Luca Grilli, 2004. "Long-Term Fixed-Income Market Structure," Quaderni DSEMS lg_physa_2003, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
  • Handle: RePEc:ufg:qdsems:lg_physa_2003
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    File URL: http://dx.doi.org/10.1016/j.physa.2003.10.019
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    References listed on IDEAS

    as
    1. Bernaschi, Massimo & Grilli, Luca & Vergni, Davide, 2002. "Statistical analysis of fixed income market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 308(1), pages 381-390.
    2. 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.
    3. R. Baviera & M. Pasquini & M. Serva & D. Vergni & A. Vulpiani, 1999. "Efficiency in foreign exchange markets," Papers cond-mat/9901225, arXiv.org.
    4. 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, February.
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    Cited by:

    1. Luca Grilli & Angelo Sfrecola, 2005. "Neural Networks to Predict Financial Time Series in a Minority Game Context," Quaderni DSEMS 14-2005, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.

    More about this item

    Keywords

    Fixed income; clustering;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • D49 - Microeconomics - - Market Structure, Pricing, and Design - - - Other

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