Multifractal Properties of Price Fluctuations of Stocks and Commodities

Abstract

We analyze daily prices of 29 commodities and 2449 stocks, each over a period of $\approx 15$ years. We find that the price fluctuations for commodities have a significantly broader multifractal spectrum than for stocks. We also propose that multifractal properties of both stocks and commodities can be attributed mainly to the broad probability distribution of price fluctuations and secondarily to their temporal organization. Furthermore, we propose that, for commodities, stronger higher order correlations in price fluctuations result in broader multifractal spectra.

Published in Euro Physics Letters (14 pages, 5 figures)

References in corpus (11)

• Improved surrogate data for nonlinearity tests
• Surrogate time series
• Detecting Long-range Correlations with Detrended Fluctuation Analysis
• Effect of Trends on Detrended Fluctuation Analysis
• Effect of nonstationarities on detrended fluctuation analysis
• Scaling of the distribution of fluctuations of financial market indices
• The statistical properties of the volatility of price fluctuations
• Scaling of the distribution of price fluctuations of individual companies
• A multifractal random walk
• Multifractality in Time Series
• Multifractal nature of stock exchange prices

Cited by in corpus (50)

• Multifractal detrended cross-correlation analysis for two nonstationary signals
• Multifractal analysis of financial markets
• Wavelet versus Detrended Fluctuation Analysis of multifractal structures
• The components of empirical multifractality in financial returns
• A Multifractal Detrended Fluctuation Description of Iranian Rial-US Dollar Exchange Rate
• Quantitative features of multifractal subtleties in time series
• Multifractality in the stock market: price increments versus waiting times
• Finite-size effect and the components of multifractality in financial volatility
• Components of multifractality in high-frequency stock returns
• Statistical properties and multifractality of Bitcoin
• Multifractal analysis of Chinese stock volatilities based on partition function approach
• Multifractality in stock indexes: Fact or fiction?
• Correlations in commodity markets
• A Multifractal Analysis of Asian Foreign Exchange Markets
• Wavelet analysis and scaling properties of time series
• The foreign exchange market: return distributions, multifractality, anomalous multifractality and Epps effect
• Stock market return distributions: from past to present
• Multifractal characterization of gold market: a multifractal detrended fluctuation analysis
• Multiscaling and non-universality in fluctuations of driven complex systems
• The bulk of the stock market correlation matrix is not pure noise
• Scale invariant multiplier and multifractality of absolute returns in stock markets
• Multifractal model of asset returns with leverage effect
• Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant
• Multifractal Behavior of the Korean Stock-market Index KOSPI
• On the multifractal effects generated by monofractal signals
• Quantitative approach to multifractality induced by correlations and broad distribution of data
• Multifractality and long memory of a financial index
• On the multi-fractal structure of traded volume in financial markets
• Volatility, Persistence, and Survival in Financial Markets
• Liquidity and the multiscaling properties of the volume traded on the stock market
• Emergence of universal scaling in financial markets from mean-field dynamics
• Transfer entropy between communities in complex networks
• Distinguishing manipulated stocks via trading network analysis
• Characterizing Multi-Scale Self-Similar Behavior and Non-Statistical Properties of Financial Time Series
• What is mature and what is still emerging in the cryptocurrency market?
• A multifractal surrogate data generation algorithm that preserves pointwise Holder regularity structure, with initial applications to turbulence
• Long-term correlations and multifractal analysis of trading volumes for Chinese stocks
• Disentangling sources of multifractality in time series
• Testing for intrinsic multifractality in the global grain spot market indices: A multifractal detrended fluctuation analysis
• Non-stationary Feller process with time-varying coefficients
• Spectral fluctuation characterization of random matrix ensembles through wavelets
• A new look at calendar anomalies: Multifractality and day of the week effect
• Computational approach to multifractal music
• Components of multifractality in the Central England Temperature anomaly series
• Multi-fractality of the entanglement Hamiltonian eigen-modes
• Long-range memory and multifractality in gold markets
• On distribution of number of trades in different time windows in the stock market
• Nonlinear Correlations in Multifractals: Visibility Graphs of Magnitude and Sign Series
• Statistical Properties of Fluctuations: A Method to Check Market Behavior
• A Self-Organized Model for the Flicker Noise in Interacting Two-Dimensional Electron Gas