Multifractal properties of price fluctuations of stocks and commodities
Multifractal properties of price fluctuations of stocks and commodities
We analyze daily prices of 29 commodities and 2449 stocks, each over a period of ≈ 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 …