co nd - m at / 9 90 32 20 14 M ar 1 99 9 Correlations in the Bond � Future Market
نویسندگان
چکیده
We analyze the time series of overnight returns for the bund and btp futures exchanged at liffe (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|January 1994) the bund{future market opened earlier than the btp{future one. The crosscorrelations between the two b o n d w alks, as well as estimates of the conditional probability, show that they are not indepen-dentt however each w alk can be modeled by means of a trinomial probability d i s-tribution. Monte Carlo simulations connrm that it is necessary to take i n to account the bivariate dependence in order to properly reproduce the statistical properties of the real{world data. Various investment strategies have been devised to exploit the \prior" information obtained by the aforementioned analysis.
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