Physica A 338 (2004) 559 – 566
www.elsevier.com/locate/physa
Statistical analysis of daily gold price data
Terence C. Mills∗
代写英国留学生论文Department of
Economics, Loughborough University, Loughborough, Leicestershire LE11 3TU, UK
Received 21 July 2003
AbstractThis paper investigates the statistical behaviour of daily gold price data from 1971 to 2002.
We .nd that the observations are characterised by short run persistence and scaling with a
break point of 15 days, i.e., three working weeks. Daily returns are highly leptokurtic, with
multi-period returns only recovering Gaussianity after 235 days (approximately eleven working
months). Volatility also scales, with long-run correlations being particularly important.
c 2004 Elsevier B.V. All rights reserved.
PACS: 89.65; 5.45; 05.40
Keywords: Econophysics; Gold price; Statistical .nance; Persistence; Multi-scaling; Volatility
1. Introduction
The statistical analysis of high-frequency stock market prices has become an
extremely popular topic for both the economics and physics research communities.
Many references to this line of research can be found in, for example, Refs. [1,2]. Attention
has particularly focused on the issues of persistence (autocorrelation), volatility
and multi-scaling. In this paper, we investigate these properties for the price of a .nancial
asset that has a long
history and has been the subject of great interest, gold (for
an entertaining and authoritative history of gold, see Peter Bernstein [3]). Incon trast
to many other .nancial assets, the pricing of gold is unusual. After the breakdown of
the gold standard, the price was raised in 1934 from a .xed rate of $20.67 per ounce
to $35, where it remained until 1968. With the breakdown of the Bretton Woods currency
arrangements, the price was then allowed to be market determined. The pricing
mechanism remains unique, however, in that the price is ‘.xed’ twice daily in London
∗ Tel: +44-1509-222-703; fax: +44-1509-223-910.
E-mail address: t.c.mills@lboro.ac.uk (T.C. Mills).
0378-4371/$ - see front matter c 2004 Elsevier B.V. All rights reserved.
doi:10.1016/j.physa.2004.03.003560 T.C. Mills / Physica A 338 (2004) 559 – 566
0
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1975 1980 1985 1990 1995 2000
Gold Price: $
Fig. 1. Daily gold price values between 1 January 1971 and 31 July 2002.
by a group comprising just .ve members of the gold market. The morning .x is the
most important of the two, and thus the highest price frequency available is daily. The
gold price series from 1 January 1971 to 31 July 2002 is showninFig. 1. The price
ranges from about $37 at the beginning of 1971 to a maximum of $835 on 18 January
1980. The price increased rapidly between 1971 and 1974, no doubt as a response to
the long period in which it had been arti.cially held down, but also to the absence of
additional new mining supply and the .rst oil shock of 1973. The price also increased
rapidly from September 1976 to January 1980, inreactionto high inFationan d the loss
of con.dence in currencies generally and the dollar in particular, and to uncertainties in
international politics. The rapid acceleration in 1980 was a consequence of technically
driventradin g inthe future markets and the ‘spike’ inprices was short-lived, only
exceeding $700 for eleven days and declining to around $300 by
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