Do wheat futures returns exhibit long-range dependence?
使用重标极差分析和赫斯特指数检验小麦期货价格的长期依赖性，通过蒙特卡洛模拟修正估计偏差，发现小麦期货价格不存在长期依赖性，无法据此制定盈利交易策略。
The efficient market hypothesis, where asset prices follow a random walk and incorporate all relevant information, is often invoked in financial economics. There is some evidence however to suggest that some asset prices do not follow random walks but display long-range dependence. Such systematic behavior of past returns is of interest to traders. This article examines long-range dependence in wheat futures prices using rescaled range analysis and the Hurst exponent. Since this estimate is biased when long-range dependence is absent and its distribution is unknown, a Monte Carlo simulation approach is proposed. Results show that wheat futures prices show no evidence of long-range dependence and there are no profitable trading rules.