Abstract
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.
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