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Short‐run auction price adjustments
Author(s) -
Burley S. P.
Publication year - 1970
Publication title -
statistica neerlandica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.52
H-Index - 39
eISSN - 1467-9574
pISSN - 0039-0402
DOI - 10.1111/j.1467-9574.1970.tb00108.x
Subject(s) - econometrics , short run , random walk , context (archaeology) , common value auction , matching (statistics) , economics , fourier transform , mathematics , microeconomics , statistics , mathematical analysis , paleontology , biology
Summary Daily prices at the Pijnacker agricultural auctions were analyzed by some new spectral techniques based on the fast Fourier transform. Within the context of linear theory, it was found that the short‐run variations in prices could be described by a random‐walk model. No significant correlation was observed between these price movements and the short‐run fluctuations in the amounts sold. Even the strong weekly cycle in supplies had no matching effect on prices.