Statistical properties of derivatives: a journey in term structures.

This article presents an empirical study of thirteen derivative markets for commodity and financial assets. This paper goes beyond statistical analysis by including the maturity as a variable for futures contracts’s daily returns, from 1998 to 2010 and for delivery dates up to 120 months. We observe that the mean and variance of the commodities follow a scaling behavior in the maturity dimension with an exponent characteristic of the Samuelson effect. The comparison of the tails of the probability distribution according to the expiration dates shows that there is a segmentation in the fat tails exponent term structure above the Lévy stable region. Finally, we compute the average tail exponent for each maturity and we observe two regimes of extreme events for derivative markets, reminding of a phase diagram with a sharp transition at the 18th delivery month.Derivatives; Econophysics; Tail exponents; Term structures;

The freight market and its interactions with the energy system.

Freigth market; derivatives; integration;

Information Flows across the Futures Term Structure: Evidence from Crude Oil Prices

International audienceWe apply the concepts of mutual information and information flows and we built directed graphs to investigate empirically the propagation of price fluctuations across a futures term structure. We focus on price relationships for North American crude oil futures because this key market experienced several structural shocks between 2000 and 2014: financialization (starting in 2003), infrastructure limitations (in 2008-2011) and regulatory changes (in 2012-2014). Wefind large variations over time in the amount of information shared by contracts with different maturities. The mutual information increased substantially starting in 2004 but fell back sharply in 2012-2014. In the crude oil space, our findings point to a possible re-segmentation of the futures market by maturity in 2012-2014. This raises questions about the causes of market segmentation. In addition, although on average short-dated contracts (up to 6 months) emit more information than backdated ones, a dynamic analysis reveals that, after 2012, similar amounts of information flow backward as flow forward along the futures maturity curve. Moreover, the directions of the transfers between pairs of maturities become drastically different. This has implications for the Samuelson effect

Collective motion of self-propelled particles interacting without cohesion

We present a comprehensive study of Vicsek-style self-propelled particle models in two and three space dimensions. The onset of collective motion in such stochastic models with only local alignment interactions is studied in detail and shown to be discontinuous (first-order like). The properties of the ordered, collectively moving phase are investigated. In a large domain of parameter space including the transition region, well-defined high-density and high-order propagating solitary structures are shown to dominate the dynamics. Far enough from the transition region, on the other hand, these objects are not present. A statistically-homogeneous ordered phase is then observed, which is characterized by anomalously-strong density fluctuations, superdiffusion, and strong intermittency.Comment: Submitted to Physical Review

A minimal model for spontaneous cell polarization and edge activity in oscillating, rotating and migrating cells

How the cells break symmetry and organize their edge activity to move directionally is a fun- damental question in cell biology. Physical models of cell motility commonly rely on gradients of regulatory factors and/or feedback from the motion itself to describe polarization of edge activity. Theses approaches, however, fail to explain cell behavior prior to the onset of polarization. Our analysis using the model system of polarizing and moving fish epidermal keratocytes suggests a novel and simple principle of self-organization of cell activity in which local cell-edge dynamics depends on the distance from the cell center, but not on the orientation with respect to the front-back axis. We validate this principle with a stochastic model that faithfully reproduces a range of cell-migration behaviors. Our findings indicate that spontaneous polarization, persistent motion, and cell shape are emergent properties of the local cell-edge dynamics controlled by the distance from the cell center.Comment: 8 pages, 5 figure

Shear induced diffusion of platelets revisited

The transport of platelets in blood is commonly assumed to obey an advection-diffusion equation with a diffusion constant given by the so-called Zydney-Colton theory. Here we reconsider this hypothesis based on experimental observations and numerical simulations including a fully resolved suspension of red blood cells and platelets subject to a shear. We observe that the transport of platelets perpendicular to the flow can be characterized by a non-trivial distribution of velocities with and exponential decreasing bulk, followed by a power law tail. We conclude that such distribution of velocities leads to diffusion of platelets about two orders of magnitude higher than predicted by Zydney-Colton theory. We tested this distribution with a minimal stochastic model of platelets deposition to cover space and time scales similar to our experimental results, and confirm that the exponential-powerlaw distribution of velocities results in a coefficient of diffusion significantly larger than predicted by the Zydney-Colton theory

A simplified mesoscale 3D model for characterizing fibrinolysis under flow conditions

One of the routine clinical treatments to eliminate ischemic stroke thrombi is injecting a biochemical product into the patient’s bloodstream, which breaks down the thrombi’s fibrin fibers: intravenous or intravascular thrombolysis. However, this procedure is not without risk for the patient; the worst circumstances can cause a brain hemorrhage or embolism that can be fatal. Improvement in patient management drastically reduced these risks, and patients who benefited from thrombolysis soon after the onset of the stroke have a significantly better 3-month prognosis, but treatment success is highly variable. The causes of this variability remain unclear, and it is likely that some fundamental aspects still require thorough investigations. For that reason, we conducted in vitro flow-driven fibrinolysis experiments to study pure fibrin thrombi breakdown in controlled conditions and observed that the lysis front evolved non-linearly in time. To understand these results, we developed an analytical 1D lysis model in which the thrombus is considered a porous medium. The lytic cascade is reduced to a second-order reaction involving fibrin and a surrogate pro-fibrinolytic agent. The model was able to reproduce the observed lysis evolution under the assumptions of constant fluid velocity and lysis occurring only at the front. For adding complexity, such as clot heterogeneity or complex flow conditions, we propose a 3-dimensional mesoscopic numerical model of blood flow and fibrinolysis, which validates the analytical model’s results. Such a numerical model could help us better understand the spatial evolution of the thrombi breakdown, extract the most relevant physiological parameters to lysis efficiency, and possibly explain the failure of the clinical treatment. These findings suggest that even though real-world fibrinolysis is a complex biological process, a simplified model can recover the main features of lysis evolution.</p

Dynamique et comportements collectifs dans les systèmes complexes: des marchés financiers aux vols d'étourneaux

Les systèmes composés d'un grand nombre d'agents en interaction exhibent souvent des propriétés macroscopiques qui ne peuvent être déduites du comportement individuel des individus. Récemment, de nombreuses études se sont intéressées aux comportements collectifs dans les systèmes biologiques (où des comportements collectifs apparaissent à différentes échelles), économiques et sociaux. Dans la plupart des cas, les interactions locales entre agents sont à l'origine d'un consensus qui s'étend à l'intégralité du système. Au cours de ce séminaire je présenterai deux aspects des comportements collectifs. Dans la première partie je présenterai une étude empirique du risque systémique dans les marchés financiers. La seconde partie sera dédiée aux comportements des groupes d'animaux et en particulier à la modélisation des nuées d' étourneaux.ou

Systemic risk in energy derivative markets: A graphtheory analysis

Considering it as a necessary condition for systemic risk to appear, this article focuses on integration in energy derivative markets, through a three-dimensional approach: observation time, space and the maturity of futures contracts. Such a method indeed makes it possible to investigate prices shocks in the physical as well as in the paper markets. In order to understand the underlying principles and the dynamic behavior of our prices system, we select specific tools of the graph-theory. More precisely, we use minimum spanning trees as a way to identify the most probable path for the transmission of prices shocks. We study the organization of these trees and their dynamic behavior. Examining Professor Delphine Lautier is also member of the Fime-FDD laboratory and associate researc