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

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  • Laurent Schoeffel

    (CEA-Saclay)

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.

Suggested Citation

  • Laurent Schoeffel, 2011. "Returns in futures markets and $\nu=3$ t-distribution," Papers 1110.1006, arXiv.org.
    • Handle: RePEc:arx:papers:1110.1006
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    File URL: http://arxiv.org/pdf/1110.1006
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