Multifractal Properties of Price Fluctuations of Stocks and Commodities

We analyze daily prices of 29 commodities and 2449 stocks, each over a period of \(\approx 15\) years. We find that the price fluctuations for commodities have a significantly broader multifractal spectrum than for stocks. We also propose that multifractal properties of both stocks and commodities c...

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Bibliographic Details
Published in:arXiv.org 2003-08
Main Authors: Kaushik Matia, Ashkenazy, Yosef, Stanley, H Eugene
Format: Article
Language:English
Subjects:
Commodities
Pricing
Variation
Online Access:Get full text
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Summary:We analyze daily prices of 29 commodities and 2449 stocks, each over a period of \(\approx 15\) years. We find that the price fluctuations for commodities have a significantly broader multifractal spectrum than for stocks. We also propose that multifractal properties of both stocks and commodities can be attributed mainly to the broad probability distribution of price fluctuations and secondarily to their temporal organization. Furthermore, we propose that, for commodities, stronger higher order correlations in price fluctuations result in broader multifractal spectra.
ISSN:2331-8422
DOI:10.48550/arxiv.0308012