Memory and equilibrium futures prices

Memory in interest rate futures

“…These results suggest that a first difference of these interest rate data is necessary before conducting the rescaled range analysis. The results of finding a unit root in these interest rates futures are consistent with the findings in the literature that report nonstationarity in futures prices [see e.g., Goldenberg (1989)l. Table I1 reports results using the traditional rescaled range method and Lo's (1991) modified rescaled range statistics for various lags.…”

“…The implication is that futures price changes are not predictable, a result consistent with the efficient market hypothesis [LeRoy (1989); Fama (1976)l. By implication, a random walk model suggests that futures price changes do not have memory, meaning that the current price does not have a systematic pattern with historical prices [Goldenberg (1989)l.…”

The pricing relationship of eurodollar futures and eurodollar deposit rates

“…This is not surprising. Goldenberg (1989) and Herbst, McCormack, and West (1987) found nonstationarity of futures prices for the agricultural commodities markets and stock indices, respectively.…”

Information Memory and Pricing Efficiency of Futures Contracts

“…They claimed that empirical evidences on futures market ineffi ciency were biased with respect to the sample period under study or the research methodology employed to analyze the futures market effi ciency. Whereas, Leuthold (1972), Bird (1985), Goldenberg (1989), Harpaz et al (1990), Choudhury (1991) and Lai and Lai (1991), observed that price changes in different futures markets in the US (including currency futures, equities and metal futures) were not random. They argued that market imperfections (namely; lack of suffi cient liquidity, non synchronous trading in cash and futures markets, time to maturity, and so on) were critical factors responsible for ineffi cient price discovery in the futures markets.…”