Sieczka, Paweł; Hołyst, Janusz A. - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 8, pp. 1621-1630
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...
