Comparison of field theory models of interest rates with market data

Belal E. Baaquie; Marakani Srikant

doi:10.1103/PhysRevE.69.036129

Comparison of field theory models of interest rates with market data

Belal E. Baaquie, Marakani Srikant

Research output: Journal Publications and Reviews › RGC 22 - Publication in policy or professional journal

13 Citations (Scopus)

Abstract

Various variants of Baaquie's field theory models of the interest rate with data from Eurodollar futures were calibrated and tested. The models based on psychological factors were seen to provide the best fit to market. A model independent determination of the volatility function of the forward rates from market data was also made. The treasury bond tick data from the GovPx database was also analyzed.

Original language	English
Article number	36129
Journal	Physical Review E - Statistical, Nonlinear, and Soft Matter Physics
Volume	69
Issue number	3 2
DOIs	https://doi.org/10.1103/PhysRevE.69.036129
Publication status	Published - Mar 2004
Externally published	Yes

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title = "Comparison of field theory models of interest rates with market data",

abstract = "Various variants of Baaquie's field theory models of the interest rate with data from Eurodollar futures were calibrated and tested. The models based on psychological factors were seen to provide the best fit to market. A model independent determination of the volatility function of the forward rates from market data was also made. The treasury bond tick data from the GovPx database was also analyzed.",

author = "Baaquie, {Belal E.} and Marakani Srikant",

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AB - Various variants of Baaquie's field theory models of the interest rate with data from Eurodollar futures were calibrated and tested. The models based on psychological factors were seen to provide the best fit to market. A model independent determination of the volatility function of the forward rates from market data was also made. The treasury bond tick data from the GovPx database was also analyzed.

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DO - 10.1103/PhysRevE.69.036129

M3 - RGC 22 - Publication in policy or professional journal

SN - 1063-651X

VL - 69

JO - Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

JF - Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

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ER -

Comparison of field theory models of interest rates with market data

Abstract

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