Measurement of a Random Process in Futures Prices

  • Arnold B. Larson


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.


Price Change Future Market Interval Length Future Price Price Movement 
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  1. [1]
    F. W. Taussig, ‘Is Market Price Determinate?’ Quarterly Journal of Economics, May 1921, pp. 394–411.Google Scholar
  2. [2]
    Holbrook Working, ‘New Ideas and Methods for Price Research,’ Journal of Farm Economics, Dec. 1956, pp. 1427–36, and ‘A Theory of Anticipatory Prices,’ American Economic Review, May 1958, pp. 188–99.Google Scholar
  3. [3]
    Arnold B. Larson, ‘Evidence on the Temporal Dispersion of Price Effects of New Market Information’ (diss. Stanford University, Calif., 1960 ).Google Scholar

Copyright information

© Palgrave Macmillan, a division of Macmillan Publishers Limited 1976

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  • Arnold B. Larson

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