ABSTRACT
The prices of many financial assets, including stocks, commodities and currencies, change several times during a day. Much published research claims that the day-to-day changes in financial prices are either random or differ from a random process in a negligible manner, which cannot be exploited by speculators. Another viewpoint is that prices contain trends but, previously, there has not been much published evidence to support the idea of trends. Statistical tests have been done upon the prices of (i) stocks traded in London (Dryden, 1970; Cunningham, 1973), America (Fama, 1965; Granger and Morgenstera, 1971), Australia (Praetz, 1969) and Scandinavia (Jennergren and Korsvold, 1974); (ii) commodities traded in America (Labys and Granger, 1970; Dusak, 1973; Cargill and Rausser, 1975) and Australia (Praetz, 1975); and (iii) international exchange rates (Cornell and Dietrich, 1978). This chapter gives the first detailed analysis of the daily prices of commodities traded at the large markets in London.
