不好意思，我还没开始学呢，希望有高人指点哦。

上商品交易所或者期货公司能够下到，比如上海金属网可以下载铜期货价格。

价格是一个随机游走过程；
用TIME SERIES 做，证明其有UNIT ROOT
关于市场是有效的，我可能说的不对，但是有效市场的的条件是价格反映一切信息，这样你算一个理论价格，然后看看现实的价格是否和理论价格接近就好咯
拙见哈

不懂。。。。

1: testing your time series follows Random Walk process:
a. Download your data(finance.yahoo.com), then you need to do the natural log transformation of your data, i.e.   Yt=In(Pt): empirical study shows only the log price might follow random walk process.
b.  Unit root test can only test whether the series is stationary or not. to testing random walk you need to test the error term is iid(independent identically distributed).
because if Yt follows random walk, Y(t)=Y(t-1)+e(t), then e(t)=Y(t)-Y(t-1)--the random walk process restricts the coefficient of Y(t-1) to be "1", therefore e(t)=Y(t)-Y(t-1), is the log return.
c.  Generate your log return series(et), and test it is iid: you can use "Run Test", "Variance Ratio Test", or other relevant tests

2. Testing the market is efficient: among the three forms of Market efficiency(weak, semi-strong, and strong form), weak form is most relevant in this case. Because it argues that the current price incorporates past (public) information, to test it is equivalent to testing the log return follows a random walk process.