LIBOR patterns: the story continues with CME:EM futures

Source: www.forexautomaton.com

With the remarkable correlation patterns seen in the logarithmic return autocorrelation data for LIBOR, the question of practical importance is to see how much of the pattern survives in the freely traded instruments related to the interest rates. This question will be addressed in several installments. I begin with Eurodollar futures traded on Chicago Merchantile Exchange (CME). This is the first article in the sequel series on the subject.


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