Non-Lévy Distribution of Commodity Price Fluctuations
| dc.creator | Matia, Kaushik | |
| dc.creator | Amaral, Luis A. Nunes | |
| dc.creator | Goodwin, Stephen P. | |
| dc.creator | Stanley, H. Eugene | |
| dc.date | 2002-02-02 | |
| dc.date.accessioned | 2026-07-07T12:06:38Z | |
| dc.date.available | 2026-07-07T12:06:38Z | |
| dc.description | Price fluctuations of commodities like cotton and wheat are thought to display probability distributions of returns that follow a Lévy stable distribution. Recent analysis of stocks and foreign exchange markets show that the probability distributions are not Lévy stable, a plausible result since commodity markets have quite different features than stock markets. We analyze daily returns of 29 commodities over typically 20 years and find that the distributions of returns decay as power laws with exponents $α$ which have values $α> 2$, outside the Lévy-stable domain. We also find that the amplitudes of the returns display long-range time correlations, like stocks, while the returns themselves are uncorrelated for time lags $\approx$ 2 days, much larger than for stocks ($\approx$ 4 min). | |
| dc.description | 4 pages 5 figures | |
| dc.identifier | https://arxiv.org/abs/cond-mat/0202028 | |
| dc.identifier | http://arxiv.org/abs/cond-mat/0202028 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/208713 | |
| dc.subject | Statistical Mechanics | |
| dc.subject | Statistical Finance | |
| dc.title | Non-Lévy Distribution of Commodity Price Fluctuations | |
| dc.type | text |