ABSTRACT
Short term commodity price fluctuations have been known to reflect speculative activity on futures markets, disequilibrium adjustments on spot markets, risk taking among industrial purchasers and agricultural processors, and exchange rate and financial activity. For example see Maizels (1992), Newberry and Stiglitz (1981), and Privolos and Duncan (1991). An essential aspect of analyzing these fluctuations is measuring whether they occur randomly, whether they behave regularly, reflecting demand and supply influences, or whether they demonstrate behavior somewhere in between, suggesting nonlinear and fractal patterns. One possible approach that we take to interpreting these fluctuations is determining the types of noise found in the underlying generating processes.
