Econophysics to unravel the hidden dynamics of commodity markets

Sary Levy-Carciente, Klaus Jaffé, Fabiola Londoño, Tirso Palm, Manuel Pérez, Miguel Piñango and Pedro Reyes
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Sary Levy-Carciente: Economic and Social Science Research Institute “Rodolfo Quintero”
Klaus Jaffé: Simon Bolivar University
Fabiola Londoño: Economic and Social Science Research Institute “Rodolfo Quintero”
Tirso Palm: Economic and Social Science Research Institute “Rodolfo Quintero”
Manuel Pérez: Economic and Social Science Research Institute “Rodolfo Quintero”
Miguel Piñango: Economic and Social Science Research Institute “Rodolfo Quintero”
Pedro Reyes: Economic and Social Science Research Institute “Rodolfo Quintero”

A chapter in Practical Fruits of Econophysics, 2006, pp 77-81 from Springer

Abstract: Summary Commodity prices act as leading indicators and have important implications for output and business fluctuations, but their dynamics are not well understood. We used some econophysic tools to evaluate five agricultural commodities traded at the NYBOT (cocoa, coffee, cotton, frozen orange juice and sugar), both in price and volume. Results show important differences between price and volume fluctuations and among the commodities. All commodities have high volatile but non-random dynamic, the less so the larger their market.

Keywords: Econophysics; Non linear dynamics; Derivative; Agricultural commodity; Futures (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-4-431-28915-9_13

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DOI: 10.1007/4-431-28915-1_13

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