Analysis of the nonlinear relationship between commodity prices in the last two decades

Autores
Catalano, Lucas Damian; Figliola, Maria Alejandra
Año de publicación
2014
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
We propose the construction of a network to study the correlation among price indices of different commodities, by using the Multifractal Cross-Correlation method proposed by Podobnik and Stanley. This estimator, based on the method Multifractal Detrended Fluctuation Analysis, is effective for self-similar signals with characteristics such as those we here analyze. We construct different networks for time periods between 1991 and 2012. Each node represents a commodity group and the links are the cross-correlation between nodes. We study the evolution of these networks from January 1991 to April 2012. The results show that after 2007, high connectivity arises between the nodes of the matrix. We conjecture that this is a consequence of the cash flow from equities and real estate markets to the commodity market due to the subprime mortage crisis.
Fil: Catalano, Lucas Damian. Universidad Nacional de General Sarmiento. Instituto del Desarrollo Humano; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Fil: Figliola, Maria Alejandra. Universidad Nacional de General Sarmiento. Instituto del Desarrollo Humano; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Materia
Econophysics
Complex Network
Cross-Correlation
Multifractality
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/35686
Acceder
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oai_identifier_str oai:ri.conicet.gov.ar:11336/35686
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network_name_str CONICET Digital (CONICET)
spelling Analysis of the nonlinear relationship between commodity prices in the last two decadesCatalano, Lucas DamianFigliola, Maria AlejandraEconophysicsComplex NetworkCross-CorrelationMultifractalityhttps://purl.org/becyt/ford/1.1https://purl.org/becyt/ford/1We propose the construction of a network to study the correlation among price indices of different commodities, by using the Multifractal Cross-Correlation method proposed by Podobnik and Stanley. This estimator, based on the method Multifractal Detrended Fluctuation Analysis, is effective for self-similar signals with characteristics such as those we here analyze. We construct different networks for time periods between 1991 and 2012. Each node represents a commodity group and the links are the cross-correlation between nodes. We study the evolution of these networks from January 1991 to April 2012. The results show that after 2007, high connectivity arises between the nodes of the matrix. We conjecture that this is a consequence of the cash flow from equities and real estate markets to the commodity market due to the subprime mortage crisis.Fil: Catalano, Lucas Damian. Universidad Nacional de General Sarmiento. Instituto del Desarrollo Humano; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaFil: Figliola, Maria Alejandra. Universidad Nacional de General Sarmiento. Instituto del Desarrollo Humano; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaSpringer2014-10info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/35686Catalano, Lucas Damian; Figliola, Maria Alejandra; Analysis of the nonlinear relationship between commodity prices in the last two decades; Springer; Quality & Quantity; 49; 4; 10-2014; 1553-15580033-51771573-7845CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/doi/10.1007/s11135-014-0067-yinfo:eu-repo/semantics/altIdentifier/url/https://link.springer.com/article/10.1007%2Fs11135-014-0067-yinfo:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-29T09:51:39Zoai:ri.conicet.gov.ar:11336/35686instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-29 09:51:39.765CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Analysis of the nonlinear relationship between commodity prices in the last two decades
title Analysis of the nonlinear relationship between commodity prices in the last two decades
spellingShingle Analysis of the nonlinear relationship between commodity prices in the last two decades
Catalano, Lucas Damian
Econophysics
Complex Network
Cross-Correlation
Multifractality
title_short Analysis of the nonlinear relationship between commodity prices in the last two decades
title_full Analysis of the nonlinear relationship between commodity prices in the last two decades
title_fullStr Analysis of the nonlinear relationship between commodity prices in the last two decades
title_full_unstemmed Analysis of the nonlinear relationship between commodity prices in the last two decades
title_sort Analysis of the nonlinear relationship between commodity prices in the last two decades
dc.creator.none.fl_str_mv Catalano, Lucas Damian
Figliola, Maria Alejandra
author Catalano, Lucas Damian
author_facet Catalano, Lucas Damian
Figliola, Maria Alejandra
author_role author
author2 Figliola, Maria Alejandra
author2_role author
dc.subject.none.fl_str_mv Econophysics
Complex Network
Cross-Correlation
Multifractality
topic Econophysics
Complex Network
Cross-Correlation
Multifractality
purl_subject.fl_str_mv https://purl.org/becyt/ford/1.1
https://purl.org/becyt/ford/1
dc.description.none.fl_txt_mv We propose the construction of a network to study the correlation among price indices of different commodities, by using the Multifractal Cross-Correlation method proposed by Podobnik and Stanley. This estimator, based on the method Multifractal Detrended Fluctuation Analysis, is effective for self-similar signals with characteristics such as those we here analyze. We construct different networks for time periods between 1991 and 2012. Each node represents a commodity group and the links are the cross-correlation between nodes. We study the evolution of these networks from January 1991 to April 2012. The results show that after 2007, high connectivity arises between the nodes of the matrix. We conjecture that this is a consequence of the cash flow from equities and real estate markets to the commodity market due to the subprime mortage crisis.
Fil: Catalano, Lucas Damian. Universidad Nacional de General Sarmiento. Instituto del Desarrollo Humano; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Fil: Figliola, Maria Alejandra. Universidad Nacional de General Sarmiento. Instituto del Desarrollo Humano; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
description We propose the construction of a network to study the correlation among price indices of different commodities, by using the Multifractal Cross-Correlation method proposed by Podobnik and Stanley. This estimator, based on the method Multifractal Detrended Fluctuation Analysis, is effective for self-similar signals with characteristics such as those we here analyze. We construct different networks for time periods between 1991 and 2012. Each node represents a commodity group and the links are the cross-correlation between nodes. We study the evolution of these networks from January 1991 to April 2012. The results show that after 2007, high connectivity arises between the nodes of the matrix. We conjecture that this is a consequence of the cash flow from equities and real estate markets to the commodity market due to the subprime mortage crisis.
publishDate 2014
dc.date.none.fl_str_mv 2014-10
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/35686
Catalano, Lucas Damian; Figliola, Maria Alejandra; Analysis of the nonlinear relationship between commodity prices in the last two decades; Springer; Quality & Quantity; 49; 4; 10-2014; 1553-1558
0033-5177
1573-7845
CONICET Digital
CONICET
url http://hdl.handle.net/11336/35686
identifier_str_mv Catalano, Lucas Damian; Figliola, Maria Alejandra; Analysis of the nonlinear relationship between commodity prices in the last two decades; Springer; Quality & Quantity; 49; 4; 10-2014; 1553-1558
0033-5177
1573-7845
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/doi/10.1007/s11135-014-0067-y
info:eu-repo/semantics/altIdentifier/url/https://link.springer.com/article/10.1007%2Fs11135-014-0067-y
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
application/pdf
dc.publisher.none.fl_str_mv Springer
publisher.none.fl_str_mv Springer
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
_version_ 1844613587575767040
score 13.070432

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