Files

Abstract

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.

Details

PDF

Statistics

from
to
Export
Download Full History