| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 974714 | Physica A: Statistical Mechanics and its Applications | 2009 | 10 Pages |
Abstract
In this paper we analyzed dependencies in commodity markets, investigating correlations of future contracts for commodities over the period 1998.09.01–2007.12.14. We constructed a minimal spanning tree based on the correlation matrix. The tree provides evidence for sector clusterization of investigated contracts. We also studied dynamical properties of commodity dependencies. It turned out that the market was constantly getting more correlated within the investigated period, although the increase of correlation was distributed non-uniformly among all contracts, and depended on contracts branches.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Paweł Sieczka, Janusz A. Hołyst,