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Multifractal properties of price fluctuations of stocks and commodities

Europhysics Letters (EPL) · 2003 · Vol. 61(3) · pp. 422–428
Kaushik MatiaYosef AshkenazyH. Eugene Stanley

Abstract

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.

Complex Systems and Time Series AnalysisMarket Dynamics and VolatilityFinancial Risk and Volatility ModelingMultifractal systemEconometricsEconomicsOrder (exchange)Distribution (mathematics)FractalMathematicsFinance
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Multifractal properties of price fluctuations of stocks and commodities
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