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Scaling in the market of futures
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.
History
Publication status
- Published
Journal
Physica A: Statistical Mechanics and its ApplicationsISSN
0378-4371Publisher
ElsevierExternal DOI
Issue
1-4Volume
253Page range
394-402Department affiliated with
- Mathematics Publications
Full text available
- No
Peer reviewed?
- Yes