Summary: Europhys. Lett., 61 (3), pp. 422­428 (2003)
EUROPHYSICS LETTERS 1 February 2003
Multifractal properties of price fluctuations
of stocks and commodities
K. Matia1
, Y. Ashkenazy2
and H. E. Stanley1
1
Center for Polymer Studies and Department of Physics, Boston University
Boston, MA 02215, USA
2
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
section 87).
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

Source: Ashkenazy, Yossi "Yosef" - Department of Solar Energy and Environmental Physics, Jacob Blaustein Institutes for Desert Research,Ben-Gurion University of the Negev
Stanley, H. Eugene - Department of Physics, Boston University

Collections: Computer Technologies and Information Sciences; Environmental Management and Restoration Technologies; Materials Science; Physics