Statistical characterization of the fixed income market efficiency
Statistical Mechanics
2008-12-10 v1 Statistical Finance
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
Cite
@article{arxiv.cond-mat/0003025,
title = {Statistical characterization of the fixed income market efficiency},
author = {M. Bernaschi and L. Grilli and L. Marangio and S. Succi and D. Vergni},
journal= {arXiv preprint arXiv:cond-mat/0003025},
year = {2008}
}
Comments
10 pages, 4 .eps figures, uses elsart.cls(sty)