Physics – Condensed Matter – Statistical Mechanics
Scientific paper
1999-03-14
Physica A 269, 90-97 (1999)
Physics
Condensed Matter
Statistical Mechanics
10 pages, 5 figures, LaTeX2e, to be published in Physica A
Scientific paper
10.1016/S0378-4371(99)00083-7
We analyze the time series of overnight returns for the bund and btp futures exchanged at LIFFE (London). The overnight returns of both assets are mapped onto a one-dimensional symbolic-dynamics random walk: The `bond walk'. During the considered period (October 1991 - January 1994) the bund-future market opened earlier than the btp-future one. The crosscorrelations between the two bond walks, as well as estimates of the conditional probability, show that they are not independent; however each walk can be modeled by means of a trinomial probability distribution. Monte Carlo simulations confirm that it is necessary to take into account the bivariate dependence in order to properly reproduce the statistical properties of the real-world data. Various investment strategies have been devised to exploit the `prior' information obtained by the aforementioned analysis.
Cuniberti Gianaurelio
Raberto Marco
Scalas Enrico
No associations
LandOfFree
Correlations in the Bond-Future Market does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Correlations in the Bond-Future Market, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Correlations in the Bond-Future Market will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-249643