Portal de Periódicos da CAPES

Monte Carlo Analysis of Mean Reversion in Commodity Futures Prices

1996; Wiley; Volume: 78; Issue: 2 Linguagem: Inglês

10.2307/1243711

1467-8276

Scott H. Irwin, Carl Zulauf, Thomas E. Jackson,

Complex Systems and Time Series Analysis

Abstract This study examines whether mean reversion is present in corn, soybean, wheat, live hog, and live cattle futures prices. Consistent with earlier studies, asymptotic regression results provide substantial evidence of mean reversion in commodity futures price movements. In sharp contrast, the Monte Carlo regression analysis does not provide support for the existence of mean reversion in commodity futures prices. A clear implication is that the asymptotic regression results are misleading. The reason is that the small sample distributions of test statistics are not well approximated by assumed asymptotic distributions.