Correlations in the Bond-Future Market

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dc.creatorCuniberti, Gianaurelio
dc.creatorRaberto, Marco
dc.creatorScalas, Enrico
dc.date1999-03-14
dc.date.accessioned2026-07-07T12:07:10Z
dc.date.available2026-07-07T12:07:10Z
dc.descriptionWe 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.
dc.description10 pages, 5 figures, LaTeX2e, to be published in Physica A
dc.identifierhttps://arxiv.org/abs/cond-mat/9903220
dc.identifierhttp://arxiv.org/abs/cond-mat/9903220
dc.identifierPhysica A 269, 90-97 (1999)
dc.identifierdoi:10.1016/S0378-4371(99)00083-7
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208877
dc.subjectStatistical Mechanics
dc.subjectDisordered Systems and Neural Networks
dc.subjectTrading and Market Microstructure
dc.titleCorrelations in the Bond-Future Market
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