Are all highly liquid securities within the same class?
Statistical Finance
2008-12-02 v2 Data Analysis, Statistics and Probability
Physics and Society
Abstract
In this manuscript we analyse the leading statistical properties of fluctuations of (log) 3-month US Treasury bill quotation in the secondary market, namely: probability density function, autocorrelation, absolute values autocorrelation, and absolute values persistency. We verify that this financial instrument, in spite of its high liquidity, shows very peculiar properties. Particularly, we verify that log-fluctuations belong to the Levy class of stochastic variables.
Cite
@article{arxiv.0706.1247,
title = {Are all highly liquid securities within the same class?},
author = {Silvio M. Duarte Queiros},
journal= {arXiv preprint arXiv:0706.1247},
year = {2008}
}