Author Type

Graduate Student

Date of Award

1974

Document Type

Thesis

Publication Status

Version of Record

Submission Date

October 2026

Abstract

The research questions of this study were: (1) Can non-randomness be identified in the movement of commodity futures prices which would indicate that the random walk theory is not fully applicable? (2) What model or models demonstrate this non-randomness? and (3) Are characteristics of non-randomness uniformly present in different commodity types? A data base of commodity futures price history was assembled covering wheat, corn, oats, and soybeans. Considering the four commodity types and the various delivery months for each commodity, a total of 215 years of price history was available. The historical data was used to test two methods of technical analysis: (1) a moving average model and (2) a seasonal model. The models simulate on a digital computer various decision rules in trading commodity futures using the price history data as input. The models were evaluated by comparing the resulting net profits from trading against the net profit from a simple buy-and-hold policy. Moving average and seasonal strategies were found which would produce more profitable results than the buy-and-hold strategy. The moving average model produced best results with wheat and corn. Oats showed the poorest results and soybeans was in an intermediate position. Oats, however, was the only commodity of the four tested which exhibited consistently better results using the seasonal model compared to the moving average model. Recommendations were made on areas of possible further study based on the research results.

Extent

153 p.

Comments

Thesis (Educat.D.)--Florida Atlantic University, 1974.|College of Education|FAU Electronic Theses and Dissertations Collection|Thesis (Educat.D.)--Florida Atlantic University, 1974.

Identifier

FADT11631

Format

pdf

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