Statistical properties of derivatives: A journey in term structures

Delphine Lautier and Franck Raynaud

Physica A: Statistical Mechanics and its Applications, 2011, vol. 390, issue 11, 2009-2019

Abstract: This article presents an empirical study of 13 derivative markets for commodities and financial assets. The study goes beyond statistical analysis by including the maturity as a variable for the daily returns of futures contracts 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 between 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, reminiscent of a phase diagram with a sharp transition at the 18th delivery month.

Keywords: Econophysics; Derivatives; Term structures; Tail exponents (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:390:y:2011:i:11:p:2009-2019

DOI: 10.1016/j.physa.2011.01.018

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