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Are all highly liquid securities within the same class?

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  • S. M.D. Queirós

Abstract

In this article 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 Lévy class of stochastic variables. Copyright EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2007

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  • S. M.D. Queirós, 2007. "Are all highly liquid securities within the same class?," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 60(2), pages 265-269, November.
    • Handle: RePEc:spr:eurphb:v:60:y:2007:i:2:p:265-269
    DOI: 10.1140/epjb/e2007-00336-7
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    1. Mantegna,Rosario N. & Stanley,H. Eugene, 2007. "Introduction to Econophysics," Cambridge Books, Cambridge University Press, number 9780521039871, January.
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