Multifractal behavior of commodity markets: Fuel versus non-fuel products

dc.creatorDelbianco, Fernando Andrés
dc.creatorTohmé, Fernando Abel
dc.creatorStosic, Tatijana
dc.creatorStosic, Borko
dc.date.accessioned2018-09-21T22:46:11Z
dc.date.accessioned2018-11-06T14:15:06Z
dc.date.available2018-09-21T22:46:11Z
dc.date.available2018-11-06T14:15:06Z
dc.date.created2018-09-21T22:46:11Z
dc.date.issued2016-09-01
dc.identifierDelbianco, Fernando Andrés; Tohmé, Fernando Abel; Stosic, Tatijana; Stosic, Borko; Multifractal behavior of commodity markets: Fuel versus non-fuel products; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 457; 1-9-2016; 573-580
dc.identifier0378-4371
dc.identifierhttp://hdl.handle.net/11336/60690
dc.identifierCONICET Digital
dc.identifierCONICET
dc.identifier.urihttp://repositorioslatinoamericanos.uchile.cl/handle/2250/1884395
dc.description.abstractWe investigate multifractal properties of commodity time series using multifractal detrended fluctuation analysis (MF-DFA). We find that agricultural and energy-related commodities exhibit very similar behavior, while the multifractal behavior of daily and monthly commodity series is rather different. Daily series demonstrate overall uncorrelated behavior, lower degree of multifractality and the dominance of small fluctuations. On the other hand, monthly commodity series show overall persistent behavior, higher degree of multifractality and the dominance of large fluctuations. After shuffling the series, we find that the multifractality is due to a broad probability density function for daily commodities series, while for monthly commodities series multifractality is caused by both a broad probability density function and long term correlations.
dc.languageeng
dc.publisherElsevier Science
dc.relationinfo:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/pii/S0378437116300942
dc.relationinfo:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.1016/j.physa.2016.03.096
dc.rightshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.rightsinfo:eu-repo/semantics/restrictedAccess
dc.subjectAGRICULTURAL MARKETS
dc.subjectCOMMODITIES
dc.subjectENERGY MARKETS
dc.subjectMULTIFRACTAL DETRENDED FLUCTUATION ANALYSIS
dc.titleMultifractal behavior of commodity markets: Fuel versus non-fuel products
dc.typeArtículos de revistas
dc.typeArtículos de revistas
dc.typeArtículos de revistas


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