Statistical characterisation of Fixed Income market efficiency

Massimo Bernaschi, Luca Grilli, Livio Marangio, Sauro Succi and Davide Vergni

Quaderni DSEMS from Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia

Abstract: We present cross and time series analysis of price fluctuations in the U.S. Treasury fixed income market. By means of techniques borrowed from statistical physics we show that the correlation among bonds depends strongly on the maturity and bonds' price increments do not fulfill the random walk hyphoteses.

Keywords: Fixed income; clustering (search for similar items in EconPapers)
JEL-codes: C10 C49 C53 D49 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2000-05
Note: pdf file is available on request
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://150.146.2.34:81/abstract/Q3-000/Q3-000.txt (text/plain)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to 150.146.2.34:81 (A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.)

Related works:
Working Paper: Statistical characterization of the fixed income market efficiency (2000)
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:ufg:qdsems:qiac03-2000

Access Statistics for this paper

More papers in Quaderni DSEMS from Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia Largo Papa Giovanni Paolo II, 1 -71100- Foggia (I). Contact information at EDIRC.
Bibliographic data for series maintained by Luca Grilli ().