Correlations in commodity markets

Paweł Sieczka and Janusz A. Hołyst

Physica A: Statistical Mechanics and its Applications, 2009, vol. 388, issue 8, 1621-1630

Abstract: In this paper we analyzed dependencies in commodity markets, investigating correlations of future contracts for commodities over the period 1998.09.01–2007.12.14. We constructed a minimal spanning tree based on the correlation matrix. The tree provides evidence for sector clusterization of investigated contracts. We also studied dynamical properties of commodity dependencies. It turned out that the market was constantly getting more correlated within the investigated period, although the increase of correlation was distributed non-uniformly among all contracts, and depended on contracts branches.

Keywords: Econophysics; Commodity markets; Correlations (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (43)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437109000065
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:388:y:2009:i:8:p:1621-1630

DOI: 10.1016/j.physa.2009.01.004

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().