Are all highly liquid securities within the same class?

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dc.creatorQueiros, Silvio M. Duarte
dc.date2007-06-08
dc.date2007-11-16
dc.date.accessioned2026-07-07T12:05:16Z
dc.date.available2026-07-07T12:05:16Z
dc.descriptionIn 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.
dc.descriptionTo be published in EPJB
dc.identifierhttps://arxiv.org/abs/0706.1247
dc.identifierhttp://arxiv.org/abs/0706.1247
dc.identifierEur. Phys. J. B 60, 265-269 (2007)
dc.identifierdoi:10.1140/epjb/e2007-00336-7
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208330
dc.subjectStatistical Finance
dc.subjectData Analysis, Statistics and Probability
dc.subjectPhysics and Society
dc.titleAre all highly liquid securities within the same class?
dc.typetext

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