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Commodities and Computers**

Published online by Cambridge University Press:  19 October 2009

Vance L. Nimrod  and
Richard S. Bower
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Extract

Econometric models have often been used to explain and predict demand, production and price patterns of agricultural commodities. With computers generally available, estimation and application of these models is a simple matter. In spite of this, there has been nothing written, at least nothing that we are aware of, which details the use of such models as an aid to speculation in commodities futures. This brief note reports successful use of an econometric model and a time-sharing computer system for this purpose.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 2 , Issue 1 , March 1967 , pp. 61 - 73
Copyright
Copyright © School of Business Administration, University of Washington 1967

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References

1 For notes on the history of statistical demand studies in agriculture and some examples of studies see Waugh, Frederick V., Demand and Price Analysis: Some Examples from Agriculture, Technical Bulletin No. 1316, U. S. Department of Agriculture, Washington, D.C., 1964Google Scholar.

2 Working, Elmer J., Demand for Meat. Institute of Meat Packing, University of Chicago, Chicago, 1954Google Scholar; and Harlow, Arthur, Factors Affecting the Price and Supply of Hogs, Technical Bulletin No. 1274, U. S. Department of Agriculture, Washington, 1964Google Scholar.

3 See Samuelson, Paul A., Economics: An Introductory Analysis. 6th Edition (New York: McGraw-Hill, 1964Google Scholar), Chapters 19–21.

4 See, for example, Whitbeck, Volkert S. and Kisor, Manown Jr., “A New Tool in Investment Decision-Making,” Financial Analysts Journal, Vol. 21 (September–October), pp. 55–59Google Scholar; and Ahlers, David M., “SEM: A Security Evaluation Model,” in Cohen, Kalman J. and Hammer, Frederick J., Analytical Methods in Banking (Homewood, Ill: Irwin, 1966) pp. 305–337Google Scholar.

5 Cootner, Paul H., Editor, The Random Character of Stock Market Prices, (Cambridge; M.I.T. Press, 1964Google Scholar) offers a fine collection of readings on this research. Fama, Eugene F., “The Behavior of Stock Market Prices,” Journal of Business. Vol. 38 (January 1965), pp. 34–105Google Scholar; and Godfrey, Michael D., Granger, Clive W. J., and Morgenstern, Oskar, “The Random Walk Hypothesis of Stock Market Behavior,” Kyklos, Vol. 17, 1964, pp. 1–30Google Scholar, provide examples of two important approaches.