The Distribution of Shortrun Commodity Price Movements

The statistical properties of daily closing futures prices for nine commodities are studied. Two hypotheses are examined: Price changes are normally distributed, and prices follow a random walk process. Normality is tested by estimating kurtosis, the R/S statistic, and characteristic exponents. The Gaussian hypothesis is rejected in a large proportion of cases. Randomness is tested by using the turning point test and the phase length test. Both tests reject the random walk hypothesis.


Issue Date:
1976-03
Publication Type:
Report
PURL Identifier:
http://purl.umn.edu/158107
Total Pages:
76
Series Statement:
Technical Bulletin
1536




 Record created 2017-04-01, last modified 2017-08-27

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