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Fractal Characteristics Of World Market Commodity Derivatives

Author

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  • Oksana Mihajlovsky Chernivtsi

Abstract

The fractal properties of some segments of the global commodity derivatives market have been investigated in the present article. The fractal nature of segments of oil and copper derivatives markets has been determined. The presence of speculative reference groups of investors on given segments has been substantiated.

Suggested Citation

  • Oksana Mihajlovsky Chernivtsi, 2013. "Fractal Characteristics Of World Market Commodity Derivatives," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 2(15), pages 1-30.
    • Handle: RePEc:alu:journl:v:2:y:2013:i:15:p:30
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    Cited by:

    1. Sobolev, Daphne, 2017. "The effect of price volatility on judgmental forecasts: The correlated response model," International Journal of Forecasting, Elsevier, vol. 33(3), pages 605-617.

    More about this item

    Keywords

    derivatives; clusters of investors; Hurst exponent; fractal analysis; fractal dimension.;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General

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