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Econophysics to unravel the hidden dynamics of commodity markets

Conference paper
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Summary

Commodity prices act as leading indicators and have important implications for output and business fluctuations, but their dynamics are not well understood. We used some econophysic tools to evaluate five agricultural commodities traded at the NYBOT (cocoa, coffee, cotton, frozen orange juice and sugar), both in price and volume. Results show important differences between price and volume fluctuations and among the commodities. All commodities have high volatile but non-random dynamic, the less so the larger their market.

Keywords

Econophysics Non linear dynamics Derivative Agricultural commodity Futures 

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Copyright information

© Springer-Verlag Tokyo 2006

Authors and Affiliations

  1. 1.Economic and Social Science Research Institute “Rodolfo Quintero”Los Chaguaramos, CaracasVenezuela
  2. 2.Center of Strategic StudiesSimon Bolivar UniversityCaracasVenezuela

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