Data/hora: 27/07/2024 03:02:13

Provedor de dados: 	31	
País: 	United States	
Título: 	RANDOM WALKS AND FRACTAL STRUCTURES IN AGRICULTURAL COMMODITY FUTURES PRICES	
Autores: 	Turvey,   Calum G.	
Data: 	2002-03-07	
Ano: 	2001	
Palavras-chave: 	Demand and Price Analysis; Marketing.	
Resumo: 	This paper investigates whether the assumption of Brownian motion often used to describe commodity price movements is satisfied.  Using historical data from 17 commodity futures contracts specific tests of fractional and ordinary Brownian motion are conducted.  The analyses are conducted under the null hypothesis of ordinary Brownian motion against the alternative of persistent or ergodic fractional Brownian motion.  Tests for fractional Brownian motion are based on a variance ratio test and compared with conventional R-S analyses.  However, standard errors based on Monte Carlo simulations are quite high, meaning that the acceptance region for the null hypothesis is large.  The results indicate that for the most part, the null hypothesis of ordinary Brownian motion cannot be rejected for 14 of 17 series.  The three series that did not satisfy the tests were rejected because they violated the stationarity property of the random walk hypothesis.	
Tipo: 	Working or Discussion Paper	
Idioma: 	Inglês	
Identificador: 	4031

http://purl.umn.edu/34151	
Editor: 	AgEcon Search	
Relação: 	University of Guelph&gt;Department of Agricultural Economics and Business&gt;Working Papers

Working Paper 02/02	
Formato: 	24

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