Abstract
Since 1960´s, when Mandelbrot showed that price time-series on some speculative markets have some characteristics that diverge from the normality implied by random walk model, many authors around the world have found evidences of what are now known as stylized facts of these markets: the non-Gaussian behavior, the volatility clustering, the long-term memory and “heavy or long tail” of price returns distribution. In this work the impact of non-normality on the finance engineering tools is showed. Next, evidences of this statistical stylized facts on some Brazilian commodity markets are searched for, using non-parametric normality tests to verify or reject the null Gaussian hypothesis and for independence (i.i.d.). The results found allow the rejection of the null hypothesis of normality and for i.i.d.
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