@article{Mann:158107,
      recid = {158107},
      author = {Mann, Jitendar S. and Heifner, Richard G.},
      title = {The Distribution of Shortrun Commodity Price Movements},
      address = {1976-03},
      number = {1488-2016-123540},
      series = {Technical Bulletin},
      pages = {76},
      year = {1976},
      abstract = {The statistical properties of daily closing futures prices  for nine commodities are studied. Two hypotheses are  examined: Price changes are normally distributed, and  prices follow a random walk process. Normality is tested by  estimating kurtosis, the R/S statistic, and characteristic  exponents. The Gaussian hypothesis is rejected in a large  proportion of cases. Randomness is tested by using the  turning point test and the phase length test. Both tests  reject the random walk hypothesis.},
      url = {http://ageconsearch.umn.edu/record/158107},
      doi = {https://doi.org/10.22004/ag.econ.158107},
}