  Universal features in stock markets and their derivative markets are studied
by means of probability distributions in internal rates of return on buy and
sell transaction pairs. Unlike the stylized facts in log normalized returns,
the probability distributions for such single asset encounters encorporate the
time factor by means of the internal rate of return defined as the continuous
compound interest. Resulting stylized facts are shown in the probability
distributions derived from the daily series of TOPIX, S & P 500 and FTSE 100
index close values. The application of the above analysis to minute-tick data
of NIKKEI 225 and its futures market, respectively, reveals an interesting
diffference in the behavior of the two probability distributions, in case a
threshold on the minimal duration of the long position is imposed. It is
therefore suggested that the probability distributions of the internal rates of
return could be used for causality mining between the underlying and derivative
stock markets. The highly specific discrete spectrum, which results from noise
trader strategies as opposed to the smooth distributions observed for
fundamentalist strategies in single encounter transactions may be also useful
in deducing the type of investment strategy from trading revenues of small
portfolio investors.
