Gianaurelio Cuniberti, Marco Raberto, Enrico Scalas  Home/Search
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Abstract: We analyze the time series of overnight returns for the futures exchanged at (London). The overnight returns of both assets are mapped onto a one--dimensional symbolic--dynamics random walk: The "bond walk". During the considered period (October 1991---- uary 1994) the market opened one. The crosscorrelations between the twobondwalks, as well as estimates of the conditional probability, show that they are not independent # however eachwalk can be modeled by means of a trinomial... (Update)
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BibTeX entry: (Update)
@misc{ cuniberti-correlations,
author = "Gianaurelio Cuniberti and Marco Raberto and Enrico Scalas",
title = "Correlations in the Bond-Future Market",
url = "citeseer.ist.psu.edu/cuniberti99correlations.html" }
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