Short‐run auction price adjustments

In: Statistica Neerlandica, Band 24, Heft 2, S. 61-70

Abstract

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.