Summary: Europhys. Lett., 61 (3), pp. 422428 (2003)
EUROPHYSICS LETTERS 1 February 2003
Multifractal properties of price fluctuations
of stocks and commodities
, Y. Ashkenazy2
and H. E. Stanley1
Center for Polymer Studies and Department of Physics, Boston University
Boston, MA 02215, USA
Department of Earth, Atmosphere, and Planetary Sciences, MIT
Cambridge, MA 02139, USA
(received 22 August 2002; accepted in final form 14 November 2002)
PACS. 87.10.+e General theory and mathematical aspects.
PACS. 89.20.-a Interdisciplinary applications of physics.
PACS. 87.90.+y Other topics in biological and medical physics (restricted to new topics in
Abstract. 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