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Invasion–percolation and statistics of US Treasury bonds

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  • Bershadskii, A.

Abstract

Using a model of analytic branching cascades on fractal clusters it is shown that US Treasury securities returns fluctuations exhibit three types of stochastic behaviors: (a) quasi-Brownian type for a very small cluster consisting of just a single bond; (b) lognormal type for a medium-size very compact cluster (branching dimension d=1); and (c) a stretched lognormal distribution (corresponding to branching dimension d=2) for the largest cluster. An analogy with multifractality at the onset of chaos is also discussed.

Suggested Citation

  • Bershadskii, A., 2001. "Invasion–percolation and statistics of US Treasury bonds," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 300(3), pages 539-550.
    • Handle: RePEc:eee:phsmap:v:300:y:2001:i:3:p:539-550
    DOI: 10.1016/S0378-4371(01)00374-0
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    References listed on IDEAS

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    1. M. Bernaschi & L. Grilli & L. Marangio & S. Succi & D. Vergni, 2000. "Statistical characterization of the fixed income market efficiency," Papers cond-mat/0003025, arXiv.org.
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    Cited by:

    1. Zheng, Zhiyong & Lu, Yunfan & Zhang, Junhuan, 2022. "Multiscale complexity fluctuation behaviours of stochastic interacting cryptocurrency price model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
    2. Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z & Jaros{l}aw Kwapie'n & Ludovico Minati & Pawe{l} O'swik{e}cimka & Marek Stanuszek, 2020. "Multiscale characteristics of the emerging global cryptocurrency market," Papers 2010.15403, arXiv.org, revised Mar 2021.

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