Are all highly liquid securities within the same class?

Details Are all highly liquid securities within the same class? Are all highly liquid securities within the same class?

2007-06-08

arxiv.org/abs/0706.1247v2

Eur. Phys. J. B 60, 265-269 (2007)

Economy

Quantitative Finance

Statistical Finance

To be published in EPJB

Scientific paper

10.1140/epjb/e2007-00336-7

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.

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