Cuniberti, Gianaurelio; Raberto, Marco; Scalas, Enrico - In: Physica A: Statistical Mechanics and its Applications 269 (1999) 1, pp. 90-97
We analyse 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...