MARKET-MAKING BEHAVIOR IN FUTURES MARKETS

This paper examines voluntary market-making behavior, namely scalping, in futures markets. Specifically, this paper studies what factors determine scalpers' entry and exit, and how scalping affects market liquidity and price volatility. The data used for the analysis are time-stamped electronic transaction data marked with traders' identities from the Dalian Futures Exchanges in China. The contributions of this paper are: (1) to give detailed analysis of scalping behavior and its impact on market liquidity; (2) to develop new econometric tools for analyzing time-series count data; (3) to propose a new measure of liquidity.Liquidity, Market-Making, Futures Markets, Scalpers, Autoregressive Conditional Intensity (ACI), Volatility, Marketing,

The "supply-of-storage" for natural gas in California

Do natural gas storage decisions in California respond to futures price spreads? Daily data about flows into and out of storage facilities in California over 2001-2005 and daily price spreads are used to investigate whether the net injection profile is consistent with the "supply-of-storage" curve deduced by Working for wheat. Storage decisions in California do seem to be influenced by intertemporal signals on NYMEX, but the magnitude of the effect is small. Strong seasonal and weekly cycles determine the net injection profile to a considerable extent. Regulatory requirements and operational constraints also limit the size of the response to intertemporal arbitrage opportunities. Results are surprisingly sensitive to the level of aggregation considered.Resource /Energy Economics and Policy,

Analyzing the Impact of Excluding Rural People from Protected Forests: Spatial Resource Degradation and Rural Welfare

This paper examines how forest-dependent villagers meet a resource requirement when they are excluded from some area of a forest. Forest managers who value both pristine and degraded forest should take into account a .displacement effect. resulting in more intensive villager extraction elsewhere, and a .replacement effect. in which villagers purchase more of the resource from the market. Similarly, forest managers who have poverty concerns should recognize that exclusion zones tend to be more costly to villagers without market access and those with low opportunity costs of labour- typically the poorest villagers.

Pests and Agricultural Commodity Losses: Evaluating Alternative Approaches to Damage Function Estimation

Estimating the economic impact of a pest requires linking biological and economic systems via a damage function. The most common damage function approach links exogenous pest populations to cumulative commodity yield losses at harvest. This type of representation is a reduced form because is not pest population levels per se that drive damage, but the underlying factors that affect pest populations and the susceptibility of the host. We specify and estimate a structural damage function and compare the results with those of the reduced form. We do so using two alternative models, one that explains the level of crop damage from a pest, and one that explains the timing of that damage during the host’s growing season. We address our objectives within an empirical application to the olive fruit fly in California. In formulating the structural damage function, we draw from current scientific literature on olive fly and olive fruit phenology. The structural damage function takes into account the feedback between climate, host susceptibility, and pest populations. Moreover, the structural approach disaggregates damage rates across space and time, unlike the typical reduced form. The estimation results indicate that endogeneity is a salient concern in both the timing of initial crop damage, and in the levels of damage evidenced in some cultivars. The structural damage function dominates the trapping-based reduced form in terms of explanatory power in every model estimated.Crop Production/Industries,

Implementing Options Markets in California To Manage Water Supply Uncertainty

In California, the tremendous spatial and temporal variation in precipitation suggests that flexible contractual arrangements, such as option contracts, would increase allocative efficiency of water over time and space. Under such arrangements, a water agency pays an option premium for the right to purchase water at some point in the future, if water conditions turn out to be dry. The premium represents the value of the flexibility gained by the buyer from postponing its decision whether to purchase water. In California, the seller of existing option arrangements is often an agricultural producer who can fallow land, in the event that a water option is exercised. In this simulation-optimization approach, we seek to determine the value of transferring water uncertainty from one party to another at several locations in California, given current water prices and the spatial and temporal distribution of water year types in the state. (Preliminary analysis covers northern California; future analysis will incorporate southern California.) We analyze within a mathematical programming framework whether increased trading among water agencies across time as well as space would result in significant gains from trade. We use output from CALVIN, an economic-engineering optimization model of the California water system which runs the current configuration of the California water system over historical hydrological conditions, to generate water's imputed price at different locations during different seasons. We also explore reasons why previous theoretical calculations of option value in the western United States have far exceeded option premia on existing bilateral contracts.Risk and Uncertainty,

Spatial and Temporal Modeling of Community Non-Timber Forest Extraction

This paper examines the interaction of spatial and dynamic aspects of resource extraction from forests by local people. Highly cyclical and varied across both space and time, the patterns of resource extraction resulting from the spatial-temporal model bear little resemblance to the patterns drawn from focusing either on spatial or temporal aspects of extraction, as is typical in both the modeling and empirical literature to date. Combining the spatial-temporal model with a measure of success in community forest management.the ability to avoid open-access resource degradation.characterizes the impact of incomplete property rights on patterns of resource extraction and stocks. Key words: Spatial and temporal modeling; renewable resources; non-timber forest products; common property resources

The Role of Harvest Timing in Pest Management: Grower Response to Infestation by the California Olive Fruit Fly

Crop Production/Industries,

Controls-structures-electromagnetics interaction program

A technology development program is described involving Controls Structures Electromagnetics Interaction (CSEI) for large space structures. The CSEI program was developed as part of the continuing effort following the successful kinematic deployment and RF tests of the 15 meter Hoop/Column antenna. One lesson learned was the importance of making reflector surface adjustment after fabrication and deployment. Given are program objectives, ground based test configuration, Intelsat adaptive feed, reflector shape prediction model, control experiment concepts, master schedule, and Control Of Flexible Structures-II (COFS-II) baseline configuration

Distribution and function of HCN channels in the apical dendritic tuft of neocortical pyramidal neurons

The apical tuft is the most remote area of the dendritic tree of neocortical pyramidal neurons. Despite its distal location, the apical dendritic tuft of layer 5 pyramidal neurons receives substantial excitatory synaptic drive and actively processes corticocortical input during behavior. The properties of the voltage-activated ion channels that regulate synaptic integration in tuft dendrites have, however, not been thoroughly investigated. Here, we use electrophysiological and optical approaches to examine the subcellular distribution and function of hyperpolarization-activated cyclic nucleotide-gated nonselective cation (HCN) channels in rat layer 5B pyramidal neurons. Outside-out patch recordings demonstrated that the amplitude and properties of ensembleHCNchannel activity were uniform in patches excised from distal apical dendritic trunk and tuft sites. Simultaneous apical dendritic tuft and trunk whole-cell current-clamp recordings revealed that the pharmacological blockade of HCN channels decreased voltage compartmentalization and enhanced the generation and spread of apical dendritic tuft and trunk regenerative activity. Furthermore, multisite two-photon glutamate uncaging demonstrated that HCN channels control the amplitude and duration of synaptically evoked regenerative activity in the distal apical dendritic tuft. In contrast, at proximal apical dendritic trunk and somatic recording sites, the blockade of HCN channels decreased excitability. Dynamicclamp experiments revealed that these compartment-specific actions of HCN channels were heavily influenced by the local and distributed impact of the high density of HCN channels in the distal apical dendritic arbor. The properties and subcellular distribution pattern of HCN channels are therefore tuned to regulate the interaction between integration compartments in layer 5B pyramidal neurons

The Ages of the Thin Disk, Thick Disk, and the Halo from Nearby White Dwarfs

We present a detailed analysis of the white dwarf luminosity functions derived from the local 40 pc sample and the deep proper motion catalog of Munn et al (2014, 2017). Many of the previous studies ignored the contribution of thick disk white dwarfs to the Galactic disk luminosity function, which results in an erronous age measurement. We demonstrate that the ratio of thick/thin disk white dwarfs is roughly 20\% in the local sample. Simultaneously fitting for both disk components, we derive ages of 6.8-7.0 Gyr for the thin disk and 8.7 $\pm$ 0.1 Gyr for the thick disk from the local 40 pc sample. Similarly, we derive ages of 7.4-8.2 Gyr for the thin disk and 9.5-9.9 Gyr for the thick disk from the deep proper motion catalog, which shows no evidence of a deviation from a constant star formation rate in the past 2.5 Gyr. We constrain the time difference between the onset of star formation in the thin disk and the thick disk to be $1.6^{+0.3}_{-0.4}$ Gyr. The faint end of the luminosity function for the halo white dwarfs is less constrained, resulting in an age estimate of $12.5^{+1.4}_{-3.4}$ Gyr for the Galactic inner halo. This is the first time ages for all three major components of the Galaxy are obtained from a sample of field white dwarfs that is large enough to contain significant numbers of disk and halo objects. The resultant ages agree reasonably well with the age estimates for the oldest open and globular clusters.Comment: ApJ, in pres