Multifractal Properties of Price Fluctuations of Stocks and Commodities

TL;DR

This study investigates the multifractal nature of price fluctuations in stocks and commodities over 15 years, revealing broader spectra for commodities and linking multifractality to distribution and correlations.

Contribution

It introduces an analysis of multifractal properties in financial markets, highlighting differences between stocks and commodities and explaining their origins.

Findings

Commodities exhibit broader multifractal spectra than stocks.

Multifractality mainly arises from broad probability distributions.

Higher order correlations lead to broader spectra in commodities.

Abstract

We analyze daily prices of 29 commodities and 2449 stocks, each over a period of $\approx 15$ 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 to the broad probability distribution of price fluctuations and secondarily to their temporal organization. Furthermore, we propose that, for commodities, stronger higher order correlations in price fluctuations result in broader multifractal spectra.