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Properites of correlations in commodity markets |
Paweł Sieczka , Janusz A. Hołyst |
Warsaw University of Technology, Faculty of Physics and Cent.of Exc.for Complex Systems Research, Koszykowa 75, Warszawa 00-662, Poland |
Abstract |
We analyze cross-correlations in commodity markets investigating correlations of future contracts for commodities over the period 1998.09.01 - 2007.12.14. We construct a minimal spanning tree based on the correlation matrix. The tree provides evidence for sector clusterization of investigated contracts. We also studied dynamic properties of correlations. It turned out that the market was constantly getting more correlated within the investigated period. |
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Presentation: Oral at International Conference on Economic Science with Heterogeneous Interacting Agents 2008, by Paweł SieczkaSee On-line Journal of International Conference on Economic Science with Heterogeneous Interacting Agents 2008 Submitted: 2008-03-18 15:24 Revised: 2009-06-07 00:48 |