Are all highly liquid securities within the same class?
Silvio M. Duarte Queiros
TL;DR
This paper investigates the statistical properties of 3-month US Treasury bill fluctuations, revealing that despite high liquidity, its log-fluctuations exhibit Levy distribution characteristics and peculiar autocorrelation behaviors.
Contribution
It provides a detailed analysis of the statistical properties of highly liquid securities, highlighting their unique Levy class fluctuation behavior and autocorrelation patterns.
Findings
Log-fluctuations belong to the Levy class.
High liquidity does not imply typical statistical properties.
Unique autocorrelation and persistence features observed.
Abstract
In this manuscript we analyse the leading statistical properties of fluctuations of (log) 3-month US Treasury bill quotation in the secondary market, namely: probability density function, autocorrelation, absolute values autocorrelation, and absolute values persistency. We verify that this financial instrument, in spite of its high liquidity, shows very peculiar properties. Particularly, we verify that log-fluctuations belong to the Levy class of stochastic variables.
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Taxonomy
TopicsComplex Systems and Time Series Analysis · Financial Risk and Volatility Modeling · Stochastic processes and financial applications