Brownian motion in the treasury bill futures market

Charles Dale

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: Brownian motion; Treasury bills; Futures markets (search for similar items in EconPapers)
JEL-codes: C0 G1 (search for similar items in EconPapers)
Date: 1981-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/46530/1/MPRA_paper_46530.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:46530

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().