Munich Personal RePEc Archive

Brownian motion in the treasury bill futures market

Dale, Charles (1981): Brownian motion in the treasury bill futures market. Published in: Business Economics , Vol. 16, (May 1981): pp. 47-54.

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Abstract

This paper analyzes prices and volumes in the T-bill futures market using a physical analogy called Brownian Motion. The results are similar to those obtained in previous studies of stock markets. For prices, the T-bill futures market failed to exhibit the presence of resistance and support levels, indicating that chartists could not profit by looking for such levels. For low volumes, T-bill futures exhibited lognormal behavior patterns, meaning that new investors are attracted to markets in proportion to the volume already present. This means that for financial futures, the first exchange to establish a new type of futures contract is the one most likely to be successful, since its competitors will have a difficult time competing with an established high level of trading volume.

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