Competitive Storage and Commodity Price Dynamics
研究风险中性商品投机者如何影响价格平滑和序列相关性，发现投机虽能增强弱自相关价格的自相关性，但无法达到数据中观察到的高水平。
By buying cheap and selling dear, risk-neutral commodity speculators can smooth commodity prices and induce serial dependence in price even when none would exist under a simple process of supply and demand. Commodity prices are variable and strongly positively correlated from one year to the next. The variability is often explained by supply factors and the autocorrelation by the activities of speculators. The authors show that this explanation is not consistent with the evidence. Speculation can substantially increase autocorrelation for prices that are weakly autocorrelated in its absence but not to the high levels that are observed in the data. Copyright 1996 by University of Chicago Press.