Searching for fractal structure in agricultural futures markets

✍ Scribed by Corazza, Marco; Malliaris, A.G.; Nardelli, Carla

• Publisher: John Wiley and Sons
• Year: 1997
• Tongue: English
• Weight: 679 KB
• Volume: 17
• Category: Article
• ISSN: 0270-7314
• DOI: 10.1002/(sici)1096-9934(199706)17:4<433::aid-fut4>3.0.co;2-i

✦ Synopsis

The four parameters of the Pareto stable probability distribution for six agricultural futures are estimated. The behavior of these estimates for different time-scaled distributions is consistent with the conjecture that the stochastic processes generating these agricultural futures returns are characterized by a fractal structure. In particular, it is empirically verified that the six futures returns satisfy the property of statistical self-similarity. Moreover, the same time series is analyzed by using the so-called rescaled range analysis. This analysis is able to detect both the fractal structure and the presence of long-term dependence within the observations. The Hurst exponent with the use of two methods, the classical and modified rescaled analysis, is estimated and tested. Finally, with the use of Mandelbrot's result on the existence of a link between the characteristic ex-We are grateful to two anonymous referees for extensive comments and to Professor Giovanni Zambruno, Department of Mathematics and Statistics, University of Milan (Italy), for his useful suggestions. We are also thankful to the editor, Dr. Mark Powers, for his support and encouragement.