We present cross and time series analysis of price fluctuations in the US Treasury fixed income market. Bonds have been classified according to a suitable metric based on the correlation among them. The classification shows how the correlation among fixed income securities depends strongly on...

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.