Multifractal properties of price fluctuations of stocks and commodities

K. Matia; Y. Ashkenazy; H. E. Stanley

doi:10.1209/epl/i2003-00194-y

Multifractal properties of price fluctuations of stocks and commodities

K. Matia, Y. Ashkenazy, H. E. Stanley

Research output: Contribution to journal › Article › peer-review

322 Scopus citations

Abstract

We analyze daily prices of 29 commodities and 2449 stocks, each over a period of ≈ 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.

Original language	English
Pages (from-to)	422-428
Number of pages	7
Journal	EPL
Volume	61
Issue number	3
DOIs	https://doi.org/10.1209/epl/i2003-00194-y
State	Published - 1 Feb 2003
Externally published	Yes

ASJC Scopus subject areas

General Physics and Astronomy

Access to Document

10.1209/epl/i2003-00194-y

Cite this

@article{85c05c1334d645c1be3d4b4bb5d29b0d,

title = "Multifractal properties of price fluctuations of stocks and commodities",

abstract = "We analyze daily prices of 29 commodities and 2449 stocks, each over a period of ≈ 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.",

author = "K. Matia and Y. Ashkenazy and Stanley, {H. E.}",

year = "2003",

month = feb,

day = "1",

doi = "10.1209/epl/i2003-00194-y",

language = "English",

volume = "61",

pages = "422--428",

journal = "EPL",

issn = "0295-5075",

publisher = "IOP Publishing Ltd.",

number = "3",

}

TY - JOUR

T1 - Multifractal properties of price fluctuations of stocks and commodities

AU - Matia, K.

AU - Ashkenazy, Y.

AU - Stanley, H. E.

PY - 2003/2/1

Y1 - 2003/2/1

N2 - We analyze daily prices of 29 commodities and 2449 stocks, each over a period of ≈ 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.

AB - We analyze daily prices of 29 commodities and 2449 stocks, each over a period of ≈ 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.

UR - http://www.scopus.com/inward/record.url?scp=0037323150&partnerID=8YFLogxK

U2 - 10.1209/epl/i2003-00194-y

DO - 10.1209/epl/i2003-00194-y

M3 - Article

AN - SCOPUS:0037323150

SN - 0295-5075

VL - 61

SP - 422

EP - 428

JO - EPL

JF - EPL

IS - 3

ER -

Multifractal properties of price fluctuations of stocks and commodities

Abstract

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this