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Statistical properties of derivatives: a journey in term structures

Raynaud, Franck; Lautier, Delphine (2011), Statistical properties of derivatives: a journey in term structures, Physica. A, Statistical Mechanics and its Applications, 390, 11, p. 2009-2019. http://dx.doi.org/10.1016/j.physa.2011.01.018

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Type
Article accepté pour publication ou publié
Date
2011
Journal name
Physica. A, Statistical Mechanics and its Applications
Volume
390
Number
11
Publisher
Elsevier
Pages
2009-2019
Publication identifier
http://dx.doi.org/10.1016/j.physa.2011.01.018
Metadata
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Author(s)
Raynaud, Franck
Lautier, Delphine
Abstract (EN)
This article presents an empirical study of thirteen derivative markets for commodity and financial assets. This paper goes beyond statistical analysis by including the maturity as a variable for futures contracts’s daily returns, from 1998 to 2010 and for delivery dates up to 120 months. We observe that the mean and variance of the commodities follow a scaling behavior in the maturity dimension with an exponent characteristic of the Samuelson effect. The comparison of the tails of the probability distribution according to the expiration dates shows that there is a segmentation in the fat tails exponent term structure above the Lévy stable region. Finally, we compute the average tail exponent for each maturity and we observe two regimes of extreme events for derivative markets, reminding of a phase diagram with a sharp transition at the 18th delivery month.
Subjects / Keywords
Derivatives; Econophysics; Tail exponents; Term structures
JEL
G1 - General Financial Markets

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