Monte Carlo analysis of mean reversion in commodity futures prices

Scott H. Irwin, Carl R. Zulauf, Thomas E. Jackson

Research output: Contribution to journalArticlepeer-review


This study examines whether mean reversion is present in corn, soybean, wheat, live hog, and live cattle futures prices. Consistent with earlier studies, asymptotic regression results provide substantial evidence of mean reversion in commodity futures price movements. In sharp contrast, the Monte Carlo regression analysis does not provide support for the existence of mean reversion in commodity futures prices. A clear implication is that the asymptotic regression results are misleading. The reason is that the small sample distributions of test statistics are not well approximated by assumed asymptotic distributions.

Original languageEnglish (US)
Pages (from-to)387-399
Number of pages13
JournalAmerican Journal of Agricultural Economics
Issue number2
StatePublished - May 1996
Externally publishedYes


  • Efficient market hypothesis
  • Futures prices
  • Mean reversion
  • Monte Carlo

ASJC Scopus subject areas

  • Agricultural and Biological Sciences (miscellaneous)
  • Economics and Econometrics


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