Statistical characterization of the fixed income market efficiency

Details Statistical characterization of the fixed income market efficiency Statistical characterization of the fixed income market efficiency

2000-03-02

arxiv.org/abs/cond-mat/0003025v1

Physics

Condensed Matter

Statistical Mechanics

10 pages, 4 .eps figures, uses elsart.cls(sty)

Scientific paper

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.

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