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The lifecycle of exchange-traded derivatives

Author

Listed:
  • Cavanaugh, Grant
  • Penick, Michael

Abstract

Using a comprehensive dataset covering most derivatives trades reported to US exchanges since 1954, we present distributional estimates of the rate at which derivative trading volumes rise and fall.

Suggested Citation

  • Cavanaugh, Grant & Penick, Michael, 2018. "The lifecycle of exchange-traded derivatives," Journal of Commodity Markets, Elsevier, vol. 10(C), pages 47-68.
    • Handle: RePEc:eee:jocoma:v:10:y:2018:i:c:p:47-68
    DOI: 10.1016/j.jcomm.2018.05.007
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Liquidity; Trading; Derivatives; Financialization; Bayesian inference; Markov model;
    All these keywords.

    JEL classification:

    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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