Are all highly liquid securities within the same class?
Centro Brasileiro de Pesquisas Físicas, Rua Dr. Xavier Sigaud 150, 22290-180 Rio de Janeiro, RJ, Brazil
Corresponding author: a email@example.com
Revised: 5 November 2007
Published online: 8 December 2007
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.
PACS: 05.90.+m – Other topics in statistical physics, thermodynamics, and nonlinear dynamical systems / 05.45.Tp – Time series analysis / 89.65.Gh – Economics; econophysics, financial markets, business and management
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2007