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The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses

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  • Hall, Joyce A.
  • Brorsen, B. Wade
  • Irwin, Scott H.

Abstract

Two alternate hypotheses, the stable Paretian and mixture of normals, have been proposed to explain the observed thick-tailed distributions of futures price movements. The two hypotheses are tested by applying the stability-under-addition test of stable distribution parameters to twenty lengthy time series of changes in daily closing futures prices. Tests are conducted on both the original data series and randomized data. The results offer support for the mixture of normals hypothesis.
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  • Hall, Joyce A. & Brorsen, B. Wade & Irwin, Scott H., 1987. "The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses," 1987 Annual Meeting, August 2-5, East Lansing, Michigan 269968, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea87:269968
    DOI: 10.22004/ag.econ.269968
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    References listed on IDEAS

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    1. Gordon, J. Douglas, 1985. "The Distribution of Daily Changes in Commodity Futures Prices," Technical Bulletins 156817, United States Department of Agriculture, Economic Research Service.
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