| Issue |
Europhys. Lett.
Volume 61, Number 3, February 2003
|
|
|---|---|---|
| Page(s) | 422 - 428 | |
| Section | Interdisciplinary physics and related areas of science and technology | |
| DOI | https://doi.org/10.1209/epl/i2003-00194-y | |
| Published online | 01 January 2003 | |
Multifractal properties of price fluctuations of stocks and commodities
1
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
Received:
22
August
2002
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)
© EDP Sciences, 2003
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