Trading Frictions and Futures Price Movements
研究发现1983-1984年标普500期货价格变化存在负序列相关，更适合用带反射屏障的随机游走模型描述，对研究市场效率和交易摩擦的学者有参考价值。
In a perfectly efficient market, after adjusting for drift, futures prices would follow a mar? tingale model. The martingale property implies that the changes in futures prices should be serially uncorrelated. This study finds that the price changes of the S&P 500 futures contracts during 1983 and 1984 have negative serial correlation and are better described by a random walk model with reflecting barriers or by a random walk model with reflect? ing barriers and mean re version.