Cuniberti, Gianaurelio; Raberto, Marco; Scalas, Enrico - EconWPA - 2004
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...