Statistical Properties of Commodity Price Fluctuations

  • Kaushik Matia
  • Yosef Ashkenazy
  • Luis A. Nunes Amaral
  • Stephen P. Goodwin
  • H. Eugene Stanley
Conference paper


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.


Surrogate Data Detrended Fluctuation Analysis Daily Return Commodity Market Foreign Exchange Market 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.


  1. 1.
    J. P. Bouchaud and M. Potters, Theory of Financial Risk (Cambridge University Press, Cambridge 2000); R. N. Mantegna and H. E. Stanley, Art Introduction to EGortoPhy8QC.9: Correlations and Complexity in Finance (Cambridge University Press, Cambridge 2000).Google Scholar
  2. 2.
    M. M. Dacorogna et al, J. Int’l Money and Finance 12, 413 (1993); G. Weis-buch et al., Ecou J. 463, 411 (2000); J. P. Nadal et al, in Advances in Self-Organization and Evolutionary Economics, edited by J. Lesourne and A. Orlian (Economica, London, 1998), p. 149; P. Gopikrishnan, V. Plerou, L. A. N. Ama-tal, M. Meyer, and H. E. Stanley, Phys. Rev. E 60, 5305 (1999); Y. Liu, P. Gopikrishnan, P. Cizeau, M. Meyer, C.-K. Peng, and H. E. Stanley, Phys. Rev. E 60, 1390 (1999); V. Plerou, P. Gopikrishnan, L. A. N. Amaral, M. Meyer, and H. E. Stanley, Phys. Rev. E 60, 6519 (1999);Google Scholar
  3. 3.
    R. N. Mantegna and H. E. Stanley, Nature 376, 46 (1995); P. Gopikrishnan et al Phys. Rev. E 60, 5305 (1999); P. Gopikrishnan et al Eur_ Phys. J. B 3, 139 (1998); Y. Liu et al Phys. Rev. E 60, 1390 (1999); V. Plerou et al. Phys. Rev. E 60, 6519 (1999);Google Scholar
  4. 4.
    For stock markets the autocorrelation function decays exponentially to the noise level with time scales of minutes [3].Google Scholar
  5. 5.
    K. Matia, L. A. N. Amaral, S. Goodwin, and H. E. Stanley, Phys. Rev. E 66, 045103 (2002).CrossRefGoogle Scholar
  6. 6.
    A commodity can have two types of prices attached to it, namely, the spot and future prices. See
  7. 7.
    B. B. Mandelbrot, J. Business 36, 394 (1963); ibid 40, 393 (1967); W. Working, Wheat Studies 9, 187 (1933); ibid Wheat Studies of the Stanford Food Institute 2, 75 (1934); R. Weron, Physica A 285, 127 (2000); B. M. Roehner, Eur. Phys. J. B 8, 151 (1999); ibid 13, 175 (2000).Google Scholar
  8. 8.
    D. Gribbin et al. J. Futures Markets 12, 475 (1992); P. Kofman in Advances in Futures and Options Research Vol. 6, edited by D. and R. Trippi (JAI Press, London); P. Kofman and C. de Vries, Review of Futures Markets 8, 244 (1989); S. Yang and B. Brorsen, J. Futures Markets 13, 175 (1993).Google Scholar
  9. 9.
    B. B. Mandelbrot, Sci. Am. 280, 70 (1999); A. Bershadskii, J. Phys. A: Math. Gen. 34, L127 (2001); Z. R. Struzik, Physica A 296, 307 (2001); L. Calvet and A. Fisher, Rev. Econ. Stat. 84, 381 (2002); ibid. J. Econometrics 105, 27 (2001); X. Sun, H. Chen, Z. Wu, and Y. Yuan, Physica A 291, 553 (2001); E. Canessa, J. Phys. A: Math. Gen. 33, 3637 (2000); M. Ausloos and K. Ivanova, Comput. Phys. Commun 147, 582 (2002); K. Ivanova and M. Ausloos, Eur. Phys. J. B 8, 665 (1999); M. Bernaschi, L. Grilli, D. Vergni, Physica A 308, 381 (2002); J. P. Bouchaud, M. Potters, M. Meyer, Euro. Phy. J. B 13, 595 (2000).Google Scholar
  10. 10.
    E. Bacry, J. Delour, and J. F. Muzy, Phys. Rev. E 64, 026103 (2001); B. Pochart and J.-P. Bouchaud, preprint tond-mat/0204047.Google Scholar
  11. 11.
    B. M. Hill, Ann. Stat. 3, 1163 (1975).MATHCrossRefGoogle Scholar
  12. 12.
    C. K. Peng, et. al. Phys. Rev. E 49, 1685 (1994).ADSCrossRefGoogle Scholar
  13. 13.
    J. W. Kantelhardt, S. Zschiegner, E. Koscielny-Bunde, A. Bunde, S. Havlin, and H. E. Stanley, Physica A 316, 87–114 (2002).ADSMATHCrossRefGoogle Scholar
  14. 14.
    K. Matia, Y. Ashkenazy and H. E. Stanley, Europhys. Lett. 61, 422 (2003).ADSCrossRefGoogle Scholar

Copyright information

© Springer Japan 2004

Authors and Affiliations

  • Kaushik Matia
    • 1
  • Yosef Ashkenazy
    • 2
  • Luis A. Nunes Amaral
    • 1
    • 3
  • Stephen P. Goodwin
    • 4
  • H. Eugene Stanley
    • 1
  1. 1.Center for Polymer Studies and Department of Physics Boston UniversityBostonUSA
  2. 2.Department of Earth, Atmospheric, and Planetary Sciences MITCambridgeUK
  3. 3.Department of Chemical EngineeringNorthwestern UniversityEvanstonUSA
  4. 4.BP UpstreamMiddlesexUK

Personalised recommendations