دانلود مقاله ISI انگلیسی شماره 19681
عنوان فارسی مقاله

ساختار بازار با درآمد ثابت بلندمدت

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
19681 2004 7 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Long-term fixed income market structure
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Physica A: Statistical Mechanics and its Applications, Volume 332, 1 February 2004, Pages 441–447

کلمات کلیدی
درآمد ثابت - خوشه بندی - ساختار بازار
پیش نمایش مقاله
پیش نمایش مقاله ساختار بازار با درآمد ثابت بلندمدت

چکیده انگلیسی

Long-term fixed income market securities present a strong positive correlation in daily returns. By using a metrical approach and considering “modified” time series, I show how it is possible to show a more complex structure which depends strictly on the maturity date.

مقدمه انگلیسی

Fixed-income market securities seem to move in a very homogeneous way as shown, for instance, in [2]. This is not surprising because the prices must follow common market laws dictated by macroeconomic variables. As a consequence data present a strong positive correlation among bonds. In [2] we have seen the presence of a cluster structure which depends strongly on the maturity of bonds. We have found that there are essentially three distinct clusters, one of them is composed exclusively of 29 “long-term” bonds, which is very compact (the maximum diameter D is equal to 0.2077) meaning that the correlation among the corresponding fixed income securities is very strong. The paper shows how, by using a different approach, also for elements of the long-term bonds cluster, it is possible to show a more complex structure. I analyzed a data set of 100 US Treasury notes and bonds in the period between 30/01/97 and 28/09/99 (694 daily prices).

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