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Are all highly liquid securities within the same class?

Name: Are all highly liquid securities within the same class?
Creator: S. M.D. Queirós
Keywords: Physics - Physics and Society, Statistical Finance (q-fin.ST), 050208 finance, 05 social sciences, Quantitative Finance - Statistical Finance, FOS: Physical sciences, Physics and Society (physics.soc-ph), 01 natural sciences, 010305 fluids & plasmas, FOS: Economics and business

descriptionPublicationkeyboard_double_arrow_right Article , Preprint , Journal , Other literature type 01 Nov 2007Embargo end date: 01 Jan 2007Publisher:Springer Science and Business Media LLCJournal:The European Physical Journal B, volume 60, pages 265-269 (issn: 1434-6028, eissn: 1434-6036,

Authors: S. M.D. Queirós;

doi: 10.1140/epjb/e2007-00336-7 , 10.48550/arxiv.0706.1247

arXiv: http://arxiv.org/abs/0706.1247 , 0706.1247

Are all highly liquid securities within the same class?

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Abstract

In this manuscript 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 Levy class of stochastic variables.

To be published in EPJB

Related Organizations

Centro Brasileiro de Pesquisas Físicas
Brazil
Centro Brasileiro de Pesquisas Físicas
Brazil

Keywords

Physics - Physics and Society, Statistical Finance (q-fin.ST), Quantitative Finance - Statistical Finance, FOS: Physical sciences, Physics and Society (physics.soc-ph), FOS: Economics and business, Physics - Data Analysis, Statistics and Probability, 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,, Data Analysis, Statistics and Probability (physics.data-an)

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