[en] The technique of Pade Approximants, introduced in a previous work, is applied to
extended recent data on the distribution of variations of interest rates compiled by the
Federal Reserve System in the US. It is shown that new power laws and new scaling
laws emerge for any maturity not only as a function of the Lag but also as a function of
the average inital rate. This is especially true for the one year maturity where critical
forms and critical exponents are obtained. This suggests future work in the direction of
constructing a theory of variations of interest rates at a more 'microscopic' level.
Mandelbrot B.B. Fractals and Scaling in Finance. 1997;Springer, Berlin.
Weron R. Lévy-stable distributions revisited. tail index > 2 does not exclude the Lévy-stable regime Int. J. Mod. Phys. C. 12(2):2001;209-223. cond-mat/0103256.
Federal Reserve Statistics, Historical data, http://www.federalreserve.gov/releases/h15/data.htm.
Di Matteo T., Aste T. How does the eurodollar interest rate behave? J. Theoret. Appl. Finance. 5:2002;122-127. cond-mat/0101009.
Bouchaud J.-Ph. Power-laws in economy and finance: some ideas from physics, cond-mat/0008103, Proceedings of the Santa-Fe Conference 'Beyond Efficiency', May 2000. J. Quant. Finance. 1(1):2001;105-112.
T. Alderweireld, J. Nuyts, A Theory for the Term Structure of Interest Rates, to be published.
Fama E.E. J. Bus. 38:1965;35 French K.R. J. Financial Econom. 8:1989;55.
Fama E.E. J. Bus. 38:1965;35 French K.R. J. Financial Econom. 8:1989;55.
