Returns in futures markets and $\nu=3$ t-distribution

Laurent Schoeffel
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Laurent Schoeffel: CEA-Saclay

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Abstract: The probability distribution of log-returns of financial time series, sampled at high frequency, is the basis for any further developments in quantitative finance. In this letter, we present experimental results based on a large set of time series on futures. Then, we show that the t-distribution with $\nu \simeq 3$ gives a nice description of almost all data series. This appears to be a quite general result that stays robust on a large set of any financial data as well as on a wide range of sampling frequency of these data, below one hour.

Date: 2011-10
New Economics Papers: this item is included in nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1110.1006

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