Multifractal properties of price fluctuations of stocks and commodities
Center for Polymer Studies and Department of Physics,
Boston University Boston, MA 02215, USA
2 Department of Earth, Atmosphere, and Planetary Sciences, MIT Cambridge, MA 02139, USA
Accepted: 14 November 2002
We analyze daily prices of 29 commodities and 2449 stocks, each over a period of 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.
PACS: 87.10.+e – General theory and mathematical aspects / 89.20.-a – Interdisciplinary applications of physics / 87.90.+y – Other topics in biological and medical physics (restricted to new topics in section 87)
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