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Title:
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Statistical properties of derivatives: a journey in term structures |
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Author:
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Raynaud, Franck; Lautier, Delphine |
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Type:
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Article accepté pour publication ou publié
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Date de création:
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2011 |
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Résumé en anglais:
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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. |
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Indexation documentaire:
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Economie financière |
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Sujet(s):
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Derivatives; Econophysics; Tail exponents; Term structures |
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JEL Code:
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G1 |
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URL de la notice:
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http://basepub.dauphine.fr/xmlui/handle/123456789/5528 |
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PUBLIE DANS
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Nom de la revue:
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Physica A: A Statistical Mechanics and its Applications |
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Volume:
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390 |
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Numéro:
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11 |
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Parution:
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2011 |
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Pages:
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2009-2019 |
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Editeur:
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Elsevier |
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Réf. Version publiée:
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http://dx.doi.org/10.1016/j.physa.2011.01.018
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