The lifecycle of exchange-traded derivatives

Grant Cavanaugh and Michael Penick

Journal of Commodity Markets, 2018, vol. 10, issue C, 47-68

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.

Keywords: Liquidity; Trading; Derivatives; Financialization; Bayesian inference; Markov model (search for similar items in EconPapers)
JEL-codes: G10 Q02 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:10:y:2018:i:c:p:47-68

DOI: 10.1016/j.jcomm.2018.05.007

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