Statistical Properties of Derivatives: A Journey in Term Structures

8 Pages Posted: 3 Nov 2010

See all articles by Delphine Lautier

Delphine Lautier

University Paris Dauphine

Franck Raynaud

Lausanne University, Swiss Institute of Bioinformatics

Multiple version iconThere are 2 versions of this paper

Date Written: November 2, 2010

Abstract

This article presents an empirical study of thirteen derivative markets for commodity and financial assets. It compares the statistical properties of futures contracts's daily returns at different maturities, from 1998 to 2010 and for delivery dates up to 120 months. The analysis of the fourth first moments of the distribution shows that the mean and variance of the commodities follow a scaling behavior in the maturity dimension. The comparison of the tails of the probability distribution according to the expiration dates also shows that there is a segmentation in the fat tails exponent term structure above the Lévy stable region. Finally, the test of the robustness of the inverse cubic law in the maturity dimension shows that there are two regimes of extreme events for derivative markets, reminding of a phase diagram with a transition value at the 18th delivery month.

Keywords: Derivatives, Term Structures, Statistical Properties, Lévy Stable, Phase Diagram

Suggested Citation

Lautier, Delphine and Raynaud, Franck, Statistical Properties of Derivatives: A Journey in Term Structures (November 2, 2010). Available at SSRN: https://ssrn.com/abstract=1701761 or http://dx.doi.org/10.2139/ssrn.1701761

Delphine Lautier (Contact Author)

University Paris Dauphine ( email )

place du Maréchal de Lattre de Tassigny
cedex 16
Paris, 75775
France

Franck Raynaud

Lausanne University, Swiss Institute of Bioinformatics ( email )

bugnon 27
Lausanne, 1011
Switzerland

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
98
Abstract Views
1,143
rank
219,533
PlumX Metrics