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Multifractal analysis of the Korean agricultural market

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  • Kim, Hongseok
  • Oh, Gabjin
  • Kim, Seunghwan

Abstract

We have studied the long-term memory effects of the Korean agricultural market using the detrended fluctuation analysis (DFA) method. In general, the return time series of various financial data, including stock indices, foreign exchange rates, and commodity prices, are uncorrelated in time, while the volatility time series are strongly correlated. However, we found that the return time series of Korean agricultural commodity prices are anti-correlated in time, while the volatility time series are correlated. The n-point correlations of time series were also examined, and it was found that a multifractal structure exists in Korean agricultural market prices.

Suggested Citation

  • Kim, Hongseok & Oh, Gabjin & Kim, Seunghwan, 2011. "Multifractal analysis of the Korean agricultural market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4286-4292.
  • Handle: RePEc:eee:phsmap:v:390:y:2011:i:23:p:4286-4292
    DOI: 10.1016/j.physa.2011.06.046
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    3. Pavón-Domínguez, P. & Serrano, S. & Jiménez-Hornero, F.J. & Jiménez-Hornero, J.E. & Gutiérrez de Ravé, E. & Ariza-Villaverde, A.B., 2013. "Multifractal detrended fluctuation analysis of sheep livestock prices in origin," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4466-4476.
    4. Faheem Aslam & Paulo Ferreira & Haider Ali, 2022. "Analysis of the Impact of COVID-19 Pandemic on the Intraday Efficiency of Agricultural Futures Markets," JRFM, MDPI, vol. 15(12), pages 1-18, December.
    5. Akash P. POOJARI & Siva Kiran GUPTHA & G Raghavender RAJU, 2022. "Multifractal analysis of equities. Evidence from the emerging and frontier banking sectors," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(632), A), pages 61-80, Autumn.
    6. Li Wang & Xing-Lu Gao & Wei-Xing Zhou, 2023. "Testing for intrinsic multifractality in the global grain spot market indices: A multifractal detrended fluctuation analysis," Papers 2306.10496, arXiv.org.
    7. He, Xiaoli & Wang, Hongwu & Du, Ziping, 2014. "The complexity and fractal structures of CSI300 before and after the introduction of CSI300IF," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 76-85.
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