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Fractal Geometry In Agricultural Cash Price Dynamics

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Author Info
Jin, Hyun J.
Frechette, Darren L.

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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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Publisher 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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  3. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May. [Downloadable!] (restricted)
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  4. Brock, W. A., 1986. "Distinguishing random and deterministic systems: Abridged version," Journal of Economic Theory, Elsevier, vol. 40(1), pages 168-195, October. [Downloadable!] (restricted)
  5. Breidt, F. Jay & Crato, Nuno & de Lima, Pedro, 1998. "The detection and estimation of long memory in stochastic volatility," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 325-348. [Downloadable!] (restricted)
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  9. M. Burton, 1993. "Some Illustrations Of Chaos In Commodity Models," Journal of Agricultural Economics, Blackwell Publishing, vol. 44(1), pages 38-50. [Downloadable!] (restricted)
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  11. Eugene F. Fama, 1963. "Mandelbrot and the Stable Paretian Hypothesis," Journal of Business, University of Chicago Press, vol. 36, pages 420. [Downloadable!]
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