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Statistical Properties of Commodity Price Fluctuations

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

Summary

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.

Keywords

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.

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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

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