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• W2097876286 abstract "Classic studies of spot price fluctuations for commodities like cotton and wheat have been interpreted using a power-law probability distribution with exponent ensuremath{alpha} inside the L'evy-stable regime $(0<ensuremath{alpha}<2).$ In contrast price fluctuations for stocks have been interpreted using a power-law probability distribution with ensuremath{alpha} outside the L'evy-stable regime suggesting that stock prices are in a different universality class than spot prices for commodities. To test this possibility we analyze daily returns of spot prices for 29 commodities and daily returns of future prices for 13 commodities over a period exceeding 10 years and find that the distributions of returns for futures decay as power laws with exponents $ensuremath{alpha}ensuremath{approx}3.2,$ significantly larger than $ensuremath{alpha}=2$ and hence outside the L'evy-stable domain, while for spot prices we find $ensuremath{alpha}ensuremath{approx}2.3$ which appears to be marginally outside the L'evy-stable domain." @default.
• W2097876286 created "2016-06-24" @default.
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• W2097876286 date "2002-10-24" @default.
• W2097876286 modified "2023-10-02" @default.
• W2097876286 title "Different scaling behaviors of commodity spot and future prices" @default.
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• W2097876286 doi "https://doi.org/10.1103/physreve.66.045103" @default.
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