Statistical Properties of Derivatives: A Journey in Term Structures

13 Pages Posted: 9 May 2011

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: May 1, 2011

Abstract

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 L´evy 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.

JEL Classification: G13, F36, C58, C16, C12

Suggested Citation

Lautier, Delphine and Raynaud, Franck, Statistical Properties of Derivatives: A Journey in Term Structures (May 1, 2011). International Conference of the French Finance Association (AFFI), May 11-13, 2011, Available at SSRN: https://ssrn.com/abstract=1833627 or http://dx.doi.org/10.2139/ssrn.1833627

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
81
Abstract Views
986
rank
224,459
PlumX Metrics