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.
Article PDF
Similar content being viewed by others
References
J.-P. Bouchaud, M. Potters, Theory of Financial Risks: From Statistical Physics to Risk Management (Cambridge University Press, Cambridge, 2000)
R.N. Mantegna, H.E. Stanley, An introduction to Econophysics: Correlations and Complexity in Finance (Cambridge University Press, Cambrigde, 1999)
J. Voit, The Statistical Mechanics of Financial Markets (Springer-Verlag, Berlin, 2003)
B.B. Mandelbrot, Fractals and Scaling in Finance (Springer, New York, 1997)
D.J. Amit, Field theory, the renormalization groups, and critical phenomena (World Scientific, Singapore, 1984)
H.E. Stanley, L.A.N. Amaral, S.V. Buldyrev, P. Gopikrishnan, V. Plerou, M.A. Salinger, Proc. Nat. Acad. Sci. USA 99, 2561 (2002)
K. Matia, L.A.N. Amaral, S. Goodwin, H.E. Stanley, Phys. Rev. E 66, 045103 (2002)
R. Rebonato, V. Gaspari, Quant. Finance 6, 297 (2006)
T.G. Bali, Ann. Oper. Res. 151, 151 (2007)
http://www.treasurydirect.gov/indiv/products/products.htm
Data available at URL: http://research.stlouisfed.org/fred2/
P. Gopikrishnan, V. Plerou, L.A.N. Amaral, M. Meyer, H.E. Stanley, Phys. Rev. E 60, 5305 (1999)
S.M.D. Queirós, L.G. Moyano, J. de Souza, C. Tsallis, Eur. Phys. J. B 55, 161 (2007)
C. Tsallis, Milan J. Math. 73, 145 (2005)
C. Tsallis, J. Stat. Phys. 52, 479 (1988); C. Tsallis, R.S. Mendes, A.R. Plastino, Physica A 261, 534 (1998)
S. M. Duarte Queirós, EPL 80, 30005 (2007)
A. Araujo, E. Guiné, The Central Limit Theorem for Real and Banach Valued Random Variables (John Wiley & Sons, New York, 1980)
C. Tsallis, S.M. Duarte Queirós, Complexity, Metastability and Nonextensivity: An International Conference edited by S. Abe, H.J. Herrmann, P. Quarati, A. Rapisarda, C. Tsallis, AIP Conf. Proc. 965, 8 (2007)
M. Potters, R. Cont, J.P. Bouchaud, Europhys. Lett. 41, 239 (1998)
S.M. Duarte Queirós, Quant. Finance 5, 475 (2005)
C.-K. Peng , S.V. Buldyrev, S. Havlin, M. Simons, H.E. Stanley, A.L. Goldberger, Phys. Rev. E 49, 1685 (1994)
Z. Chen, P.Ch. Ivanov, K. Hu, H.E. Stanley, Phys. Rev. E 65, 041107 (2002)
Z. Chen, K. Hu, P. Carpena, P. Bernaola-Galvan, H.E. Stanley, P.Ch. Ivanov, Phys. Rev. E 71, 011104 (2005)
M. Bartolozzi, C. Mellen, T. Di Matteo, T. Aste, Eur. Phys. J. B 58, 207 (2007)
J.P. Bouchaud, A. Matacz, M. Potters, Phys. Rev. Lett. 87, 228701 (2001)
J.C. Cox, S.A. Ross, J. Fin. Eco. 3, 145 (1976)
S.L. Heston, Rev. Fin. Stud. 6, 327 (1993)
A.A. Dragulescu, V.M. Yakovenko, Quant. Finance 2, 443 (2002)
G.J. Jiang, J. Fin. Quant. An. 33, 465 (1998) and references therein
Z. Eisler, J. Kertész, EPL 77, 28001 (2007)
Author information
Authors and Affiliations
Corresponding author
Rights and permissions
About this article
Cite this article
Queirós, S. Are all highly liquid securities within the same class?. Eur. Phys. J. B 60, 265–269 (2007). https://doi.org/10.1140/epjb/e2007-00336-7
Received:
Published:
Issue Date:
DOI: https://doi.org/10.1140/epjb/e2007-00336-7