This article presents an empirical study of thirteen derivative markets for commodity and financial assets. It compares the statistical properties of futures contracts's daily returns at different maturities, from 1998 to 2010 and for delivery dates up to 120 months. The analysis of the fourth...

In commodity markets, the convergence of futures towards spot prices as the time to maturity of the contracts goes to zero is usually justified by no-arbitrage arguments. In this paper we propose an alternative approach, that relies on the expected profit maximization problem of an agent...