Correlations in commodity markets

Details Correlations in commodity markets Correlations in commodity markets

2008-03-27

arxiv.org/abs/0803.3884v2

Physica A 388 (2009) 1621-1630

Economy

Quantitative Finance

Statistical Finance

Scientific paper

10.1016/j.physa.2009.01.004

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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