| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481112 | Physica A: Statistical Mechanics and its Applications | 2019 | 11 Pages |
Abstract
We use a large database of derivative markets including three financial sectors: commodities, energy and financial assets. ⺠We compute standard statistics and give innovative empirical results as well as financial interpretations. ⺠We observe two regimes of extreme events, reminiscent of a phase diagram with a sharp transition at the 18th delivery month.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Delphine Lautier, Franck Raynaud,