Statistical properties of commodity price fluctuations

Kaushik Matia, Yosef Ashkenazy, Luis A Nunes Amaral, Stephen P Goodwin, H Eugene Stanley

    Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

    Abstract

    Though the statistical properties of price fluctuations for stocks have been studied extensively since the last decade, not many studies have been done on commodity price fluctuations. Fiore, we perform a comparative study to test whether commodities are statistically similar to stocks with respect to (a) probability distribution and (b) correlation of price fluctuations. We analyze daily returns of spot prices for 29 commodities and daily returns of future prices for 13 commodities over a period exceeding 10 years and compare the results with a database of 2449 stocks over the same period.
    Original languageEnglish
    Title of host publicationThe Application of Econophysics
    PublisherSpringer
    Pages192-197
    Number of pages6
    StatePublished - 2004

    Keywords

    • Surrogate Data
    • Detrended Fluctuation Analysis
    • Daily Return
    • Commodity Market
    • Foreign Exchange Market

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