2003/02/01 by Kaushik Matia, Yosef Ashkenazy, H. Eugene Stanley · 2 citations
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #Financial Risk and Volatility Modeling #Market Dynamics and Volatility #cond-mat.stat-mech #q-fin.ST
paper · pdf · doi:10.1209/epl/i2003-00194-y
Published in Euro Physics Letters (14 pages, 5 figures)
openalex publication_date 2003/02/01 · arxiv created 2003/08/01 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/30
We analyze daily prices of 29 commodities and 2449 stocks, each over a period of ≈ 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.