文章基本信息

标题：The Distribution of Shortrun Commodity Price Movements
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作者：Mann, Jitendar S. ; Heifner, Richard G.
期刊名称：Journal of Agribusiness
印刷版ISSN：0738-8950
出版年度：1976
出版社：Journal of Agribusiness
摘要：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.
关键词：futures prices;Gaussian distribution;stable Paretian distribution;random walk