Multifractal properties of price fluctuations of stocks and commodities
Europhysics Letters (EPL)Published 1 February 2003Open access
Kaushik Matia, Yosef Ashkenazy, H. Eugene Stanley
Citations343
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Abstract
We analyze daily prices of 29 commodities and 2449 stocks, each over a period\nof $\\approx 15$ years. We find that the price fluctuations for commodities have\na significantly broader multifractal spectrum than for stocks. We also propose\nthat multifractal properties of both stocks and commodities can be attributed\nmainly to the broad probability distribution of price fluctuations and\nsecondarily to their temporal organization. Furthermore, we propose that, for\ncommodities, stronger higher order correlations in price fluctuations result in\nbroader multifractal spectra.\n
Keywords
Economics, Econometrics and Finance
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