Statistical characterization of the fixed income market efficiency

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dc.creatorBernaschi, M.
dc.creatorGrilli, L.
dc.creatorMarangio, L.
dc.creatorSucci, S.
dc.creatorVergni, D.
dc.date2000-03-02
dc.date.accessioned2026-07-07T12:10:55Z
dc.date.available2026-07-07T12:10:55Z
dc.descriptionWe 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.
dc.description10 pages, 4 .eps figures, uses elsart.cls(sty)
dc.identifierhttps://arxiv.org/abs/cond-mat/0003025
dc.identifierhttp://arxiv.org/abs/cond-mat/0003025
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210071
dc.subjectStatistical Mechanics
dc.subjectStatistical Finance
dc.titleStatistical characterization of the fixed income market efficiency
dc.typetext

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