Multifractal Properties of Price Fluctuations of Stocks and Commodities

摘要

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