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Correlations in commodity markets

Listed author(s):
  • Pawe{\l} Sieczka
  • Janusz A. Ho{\l}yst
Registered author(s):

    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 nonuniformly among all contracts, and depended on contracts branches.

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    Paper provided by in its series Papers with number 0803.3884.

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    Date of creation: Mar 2008
    Date of revision: Jan 2009
    Publication status: Published in Physica A 388 (2009) 1621-1630
    Handle: RePEc:arx:papers:0803.3884
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