Monte Carlo Analysis of Mean Reversion in Commodity Futures Prices
用蒙特卡洛方法检验玉米、大豆等五种商品期货价格是否存在均值回归，发现传统回归结果有误导性，因为小样本检验统计量分布与渐近分布差异大。
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.