INVESTIGADORES
DELBIANCO Fernando AndrÉs
artículos
Título:
Multifractal behavior of commodity markets: fuel vs. non-fuel products
Autor/es:
DELBIANCO, FERNANDO ANDRÉS; FERNANDO TOHMÉ; TATIJANA STOSIC; BORKO STOSIC
Revista:
PHYSICA A - STATISTICAL AND THEORETICAL PHYSICS
Editorial:
ELSEVIER SCIENCE BV
Referencias:
Lugar: Amsterdam; Año: 2016
ISSN:
0378-4371
Resumen:
We investigate multifractal properties of commoditytime series using the Multifractal detrended fluctuation analysis (MF-DFA). We findrather distinct multifractal behavior of daily and monthly commodities series. Daily series demonstrate overall uncorrelated behavior, lower degree of multifractalityand the dominance of small fluctuations. On the other hand monthly commodityseries show overall persistent behavior, higher degree of multifractality andthe dominance of large fluctuations. After shuffling the series, we find that themultifractality is due to broad probability density function for dailycommodities series, while for monthly commodities series multifractality is causedby both probability density function and long term correlations.
