Multifractal analysis of the Korean agricultural market |
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| Authors: | Hongseok Kim Gabjin Oh Seunghwan Kim |
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| Institution: | 1. Department of Physics, POSTECH, San 31, Hyoja-Dong, Nam-Gu, Pohang, 790-784, Korea;2. Division of Business Administration, Chosun University, Gwangju, 501-759, Korea;1. Hunan Key Laboratory for Computation and Simulation in Science and Engineering, Xiangtan University, Xiangtan, Hunan 411105, China;2. Key Laboratory of Intelligent Computing and Information Processing of Ministry of Education, Xiangtan University, Xiangtan, Hunan 411105, China;3. School of Mathematical Sciences, Queensland University of Technology, GPO Box 2434, Brisbane, Q4001, Australia;1. Department of Physics, University of North Bengal, Siliguri 734013, India;2. Department of Physics, Chakdaha College, Chakdaha, Nadia 741222, India;3. Department of Physics, Dinhata College, Dinhata, Cooch Behar 736135, India;4. Department of Computer and Information Sciences, SUNY at Fredonia, NY 14063, USA;1. Department of Geosciences, Federal University of Maranhão (UFMA), Av. Dos Portugueses, 1966, Bacanga, CEP 65080-805, São Luís, MA, Brazil;2. Department of Agricultural Engineering, Federal Rural University of Pernambuco (UFRPE), Dom Manoel de Medeiros s/n, CEP 52171-900, Recife, PE, Brazil;3. Centro de Investigaciones Científicas Avanzadas CICA, University of Corunna, 15071 Corunna, Spain;1. School of Economics and Management, Southwest Jiaotong University, First Section of Northern Second Ring Road, Chengdu, China;2. Commercial College, Chengdu University of Technology, Erxianqiao East 3 Road, Chengdu, China |
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| 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 -point correlations of time series were also examined, and it was found that a multifractal structure exists in Korean agricultural market prices. |
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