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Fractal Geometry In Agricultural Cash Price Dynamics

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  • Jin, Hyun Joung
  • Frechette, Darren L.

Abstract

Agricultural prices are determined by natural and socio-economic factors that are known to be self-similar at different time scales and to follow non-periodic cyclical patterns. These properties are most easily understood using Mandelbrot's fractal geometry, in which a jagged time series is treated as a jagged coastline or any other natural phenomenon. The fractal market hypothesis provides the theory needed to explain why fractal structure exists in agricultural prices. Empirical evidence confirms theoretical predictions.

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Bibliographic Info

Paper provided by American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) in its series 2002 Annual meeting, July 28-31, Long Beach, CA with number 19696.

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Date of creation: 2002
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Handle: RePEc:ags:aaea02:19696

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Keywords: Demand and Price Analysis;

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