Returns in futures markets and $\nu=3$ t-distribution

The probability distribution of log-returns of financial time series, sampled at high frequency, is the basis for any further developments in quantitative finance. In this letter, we present experimental results based on a large set of time series on futures. Then, we show that the t-distribution with $\nu \simeq 3$ gives a nice description of almost all data series. This appears to be a quite general result that stays robust on a large set of any financial data as well as on a wide range of sampling frequency of these data, below one hour.