Scaling in the market of futures

Scalas, Enrico (1998) Scaling in the market of futures. Physica A: Statistical Mechanics and its Applications, 253 (1-4). pp. 394-402. ISSN 0378-4371

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Abstract

The price time series of the Italian government bonds (BTP) futures is studied by means of scaling concepts originally developed for random walks in statistical physics. The series of overnight price differences is mapped onto a one-dimensional random walk: the bond walk. The analysis of the root mean square fluctuation function and of the auto-correlation function indicates the absence of both short- and long-range correlations in the bond walk. A simple Monte Carlo simulation of a random walk with trinomial probability distribution is able to reproduce the main features of the bond walk.

Item Type: Article
Schools and Departments: School of Mathematical and Physical Sciences > Mathematics
Subjects: Q Science > QA Mathematics > QA0276 Mathematical statistics
Depositing User: Enrico Scalas
Date Deposited: 02 Oct 2014 13:44
Last Modified: 02 Oct 2014 13:44
URI: http://srodev.sussex.ac.uk/id/eprint/50316
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