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Are all highly liquid securities within the same class?

  • Interdisciplinary Physics
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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.

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Authors and Affiliations

  1. Centro Brasileiro de Pesquisas Físicas, Rua Dr. Xavier Sigaud 150, 22290-180, Rio de Janeiro, RJ, Brazil

    S. M.D. Queirós

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  1. S. M.D. Queirós
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Correspondence to S. M.D. Queirós.

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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

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  • DOI: https://doi.org/10.1140/epjb/e2007-00336-7

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