Multifractal analysis of the Korean agricultural market

Hongseok Kim, Gabjin Oh and Seunghwan Kim

Physica A: Statistical Mechanics and its Applications, 2011, vol. 390, issue 23, 4286-4292

Abstract: We have studied the long-term memory effects of the Korean agricultural market using the detrended fluctuation analysis (DFA) method. In general, the return time series of various financial data, including stock indices, foreign exchange rates, and commodity prices, are uncorrelated in time, while the volatility time series are strongly correlated. However, we found that the return time series of Korean agricultural commodity prices are anti-correlated in time, while the volatility time series are correlated. The n-point correlations of time series were also examined, and it was found that a multifractal structure exists in Korean agricultural market prices.

Keywords: Econophysics; Multifractal; Agricultural market (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:390:y:2011:i:23:p:4286-4292

DOI: 10.1016/j.physa.2011.06.046

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