Measurement of a Random Process in Futures Prices

Arnold B. Larson

Chapter 11 in The Economics of Futures Trading, 1976, pp 191-204 from Palgrave Macmillan

Abstract: Abstract This paper presents the results of application of a new method of time-series analysis, which appears to give the first really satisfactory answer to the question of whether commodity futures markets facilitate excessive daily price fluctuations. The method uses an entirely new test statistic, the index of continuity, rather than autocovariance as do virtually all other methods. In order to show why the new statistic is needed, I will first sketch the current status of the relevant area of time-series analysis, and demonstrate the failure of existing methods to solve the problem at hand.

Keywords: Price Change; Future Market; Interval Length; Future Price; Price Movement (search for similar items in EconPapers)
Date: 1976
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-349-02693-7_12

Ordering information: This item can be ordered from
http://www.palgrave.com/9781349026937

DOI: 10.1007/978-1-349-02693-7_12

Access Statistics for this chapter

More chapters in Palgrave Macmillan Books from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().