Multifractal analysis of the Korean agricultural market

► We have studied the long-term memory effects of the Korean agricultural market using the detrended fluctuation analysis (DFA) method. ► We found that the return time series of Korean agricultural commodity prices are anti-correlated in time, while the volatility time series are correlated. ► We examine the n-point correlations of time series. ► A multifractal structure exists in Korean agricultural market prices.