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Different scaling behaviors of commodity spot and future prices
Kaushik Matia1, Luis A Nunes Amaral, Stephen P Goodwin
1Center for Polymer Studies and Department of Physics, Boston University, Boston, Massachusetts 02215, USA.
Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics
|November 22, 2002
Abstract:
Classic studies of spot price fluctuations for commodities like cotton and wheat have been interpreted using a power-law probability distribution with exponent alpha inside the Lévy-stable regime (0