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
Subtitle of host publicationProceedings of the Second Nikkei Econophysics Symposium
PublisherSpringer Tokyo
Pages192-197
Number of pages6
ISBN (Electronic)9784431539476
ISBN (Print)9784431140283
DOIs
StatePublished - Nov 2003
Externally publishedYes

Keywords

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

Fingerprint

Dive into the research topics of 'Statistical properties of commodity price fluctuations'. Together they form a unique fingerprint.

Cite this