Forecasts of Monthly U.S. Wheat Prices: A Spatial Market Analysis

The value of timely and accurate forecasts can hardly be overstated. Because remuneration for accurate forecasting is so great, an army of economists, traders, and speculators expend considerable effort to gain insight into the future path of asset prices. Theoretically, the efforts of these agents drives markets to efficiency. In a frictionless world, efficiency implies that asset values would tend to follow a random walk. Under this sort of stochastic process, the best predictor of price in period t+1 is the price at time t.