Statistical characterization of the fixed income market efficiency
arXiv:cond-mat/0003025
Abstract
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.
10 pages, 4 .eps figures, uses elsart.cls(sty)