Multifractal properties of price fluctuations of stocks and commodities

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

Research output: Contribution to journalArticlepeer-review

293 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 languageEnglish
Pages (from-to)422-428
Number of pages7
JournalEurophysics Letters
Volume61
Issue number3
DOIs
StatePublished - 1 Feb 2003
Externally publishedYes

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