System Theoretic Time‐Series Forecasts of Weekly Live Cattle Prices
运用线性系统理论预测六个不同地理市场的周活牛价格，发现预测优于替代模型，并基于模型参数构建套利组合，模拟显示套利活动可盈利。
Abstract Multivariate time‐series forecasts of weekly live cattle prices in six different geographic markets are developed using a procedure based on the principles of linear systems theory. These forecasts were found to be informative and superior to those obtained from an alternative model. Following the approach developed for stock prices by Cerchi and Havenner, arbitrage portfolios were constructed from the model parameters. A simulation exercise based on 208 weekly observations withheld from model specification and estimation suggests that these arbitrage activities would have been profitable in practice.