The lifecycle of exchange-traded derivatives

摘要: 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. Results suggest that lifecycle cleared shifted in 2000's. Derivatives with low moved modest increased probability. Prior shift, less popular contracts were likely remain or be delisted altogether. This additional resilience from levels improved trajectory for marginal contract, despite decade's launch record number new historic abundance rarely traded contracts. The New York Mercantile Exchange, an exchange abruptly electronic trading, provides some evidence this shift was driven by technology. We our analysis as non-stationary Markov model, estimated using Bayesian methods. approach offers simple summary statistics inform organized model describes dynamics market whole. facilitates comparisons among historical groups (e.g. across time, exchange, product type) well simulation emerging over time.