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

Fernando Delbianco (), Fernando Tohmé, Tatijana Stosic and Borko Stosic

Physica A: Statistical Mechanics and its Applications, 2016, vol. 457, issue C, 573-580

Abstract: We 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.

Keywords: Commodities; Agricultural markets; Energy markets; Multifractal detrended fluctuation analysis (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:457:y:2016:i:c:p:573-580

DOI: 10.1016/j.physa.2016.03.096

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